23 citations · 81 across the 12 of their papers we have counts for
13 papers
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…
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…
A unified approach to radial, hyperbolic, and directional efficiency measurement in Data Envelopment Analysis
Margaréta Halická, Mária Trnovská, Aleš Černý
The paper analyses properties of a large class of "path-based" Data Envelopment Analysis models through a unifying general scheme. The scheme includes the well-known oriented radia…
Numeraire-invariant quadratic hedging and mean--variance portfolio allocation
Aleš Černý, Christoph Czichowsky, Jan Kallsen
The paper investigates quadratic hedging in a semimartingale market that does not necessarily contain a risk-free asset. An equivalence result for hedging with and without numerair…
Simplified calculus for semimartingales: Multiplicative compensators and changes of measure
Aleš Černý, Johannes Ruf
The paper develops multiplicative compensation for complex-valued semimartingales and studies some of its consequences. It is shown that the stochastic exponential of any complex-v…
Pure-jump semimartingales
Aleš Černý, Johannes Ruf
A new integral with respect to an integer-valued random measure is introduced. In contrast to the finite variation integral ubiquitous in semimartingale theory (Jacod and Shiryaev,…
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…
Simple Explicit Formula for Near-Optimal Stochastic Lifestyling
Aleš Černý, Igor Melicherčík
In life-cycle economics the Samuelson paradigm (Samuelson, 1969) states that the optimal investment is in constant proportions out of lifetime wealth composed of current savings an…
Convex duality and Orlicz spaces in expected utility maximization
Sara Biagini, Aleš Černý
In this paper we report further progress towards a complete theory of state-independent expected utility maximization with semimartingale price processes for arbitrary utility func…
Optimal Trade Execution Under Endogenous Pressure to Liquidate: Theory and Numerical Solutions
Pavol Brunovský, Aleš Černý, Ján Komadel
We study optimal liquidation of a trading position (so-called block order or meta-order) in a market with a linear temporary price impact (Kyle, 1985). We endogenize the pressure t…
Hedging in Lévy Models and the Time Step Equivalent of Jumps
Aleš Černý, Stephan Denkl, Jan Kallsen
We consider option hedging in a model where the underlying follows an exponential Lévy process. We derive approximations to the variance-optimal and to some suboptimal strategies a…
A Singular Differential Equation Stemming from an Optimal Control Problem in Financial Economics
Pavol Brunovský, Aleš Černý, Michael Winkler
We consider the ordinary differential equation , with , and the singular initial condition …
Admissible Strategies in Semimartingale Portfolio Selection
Sara Biagini, Aleš Černý
The choice of admissible trading strategies in mathematical modelling of financial markets is a delicate issue, going back to Harrison and Kreps (1979). In the context of optimal p…