23 citations · 81 across the 12 of their papers we have counts for
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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…
q-fin.PM2018★ 2 cited
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…
q-fin.PM2017★ 7 cited
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…