95 citations · 110 across the 4 of their papers we have counts for
5 papers
On integrability of local utility maximizing strategies
Aleš Černý, Johannes Ruf
In stochastic control problems involving optimal portfolio choice, one often seeks an optimizer of some local criterion (dynamic programming value function) generated by some globa…
The law of one price in quadratic hedging and mean-variance portfolio selection
Aleš Černý, Christoph Czichowsky
The law of one price (LOP) broadly asserts that identical financial flows should command the same price. We show that, when properly formulated, LOP is the minimal condition for a…
Simplified stochastic calculus via semimartingale representations
Aleš Černý, Johannes Ruf
We develop a stochastic calculus that makes it easy to capture a variety of predictable transformations of semimartingales such as changes of variables, stochastic integrals, and t…
Characterization of the Oblique Projector with Application to Constrained Least Squares
Aleš Černý
We provide a full characterization of the oblique projector in the general case where the range of and the null space of are not complementary subspaces. We disc…
On the Structure of General Mean-Variance Hedging Strategies
Aleš Černý, Jan Kallsen
We provide a new characterization of mean-variance hedging strategies in a general semimartingale market. The key point is the introduction of a new probability measure …