3 papers
q-fin.PM2026
Dynamically optimal portfolios for monotone mean--variance preferences
AleÅ¡ Äerný, 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…
math.OC2025
Numeraire-invariant quadratic hedging and mean--variance portfolio allocation
AleÅ¡ Äerný, 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…
math.OC2024
On indication, strict monotonicity, and efficiency of projections in a general class of path-based data envelopment models
Margaréta Halická, Mária Trnovská, AleÅ¡ Äerný
Data envelopment analysis (DEA) theory formulates a number of desirable properties that DEA models should satisfy. Among these, indication, strict monotonicity, and strong efficien…