39 citations · 39 across the 1 of their papers we have counts for
3 papers
Cash-invariant hull representation of divergence preferences
Aleš Černý, Johannes Ruf, Martin Schweizer
Uniformly weighted divergence preferences (UWDP) introduced in Maccheroni et al. (2006) are an important class of risk-averse preferences that contain as a special case the monoton…
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…
Mean-variance hedging via stochastic control and BSDEs for general semimartingales
Monique Jeanblanc, Michael Mania, Marina Santacroce +1
We solve the problem of mean-variance hedging for general semimartingale models via stochastic control methods. After proving that the value process of the associated stochastic co…