3 papers
q-fin.PM2025
Dynamically optimal portfolios for monotone mean--variance preferences
Aleš Černý, Johannes Ruf, Martin Schweizer
Monotone mean-variance (MMV) utility is the minimal modification of the classical Markowitz utility that respects rational ordering of investment opportunities. This paper provides…
math.OC2023
On indication, strict monotonicity, and efficiency of projections in a general class of path-based data envelopment models
Margaréta Halická, Mária Trnovská, Aleš Černý
Data envelopment analysis (DEA) theory formulates a number of desirable properties that DEA models should satisfy. Among these, indication, strict monotonicity, and strong efficien…
q-fin.MF2019
Semimartingale theory of monotone mean--variance portfolio allocation
Aleš Černý
We study dynamic optimal portfolio allocation for monotone mean--variance preferences in a general semimartingale model. Armed with new results in this area we revisit the work of…