23 citations · 81 across the 12 of their papers we have counts for
Showing 2019Show all
2 papers · 1 filter
math.PR2019
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,…
q-fin.MF2019★ 10 cited
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…