Aleš Černý

activity

20072026

most citedOn the Structure of General Mean-Variance Hedging Strategies

95 citations · 110 across the 4 of their papers we have counts for

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3 papers · 1 filter

math.OC2026

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…

math.OC2022

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…

math.OC2008★ 9 cited

Characterization of the Oblique Projector $U (V U)^{+} V$ with Application to Constrained Least Squares

Aleš Černý

We provide a full characterization of the oblique projector $U (V U)^{+} V$ in the general case where the range of $U$ and the null space of $V$ are not complementary subspaces. We disc…

On integrability of local utility maximizing strategies

The law of one price in quadratic hedging and mean-variance portfolio selection

Characterization of the Oblique Projector U(VU)+V with Application to Constrained Least Squares

Characterization of the Oblique Projector $U (V U)^{+} V$ with Application to Constrained Least Squares