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Aleš Černý

Personal Details

First Name:Ales
Middle Name:
Last Name:Cerny
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RePEc Short-ID:pxx23
[This author has chosen not to make the email address public]

Affiliation

Bayes Business School
City St George's

London, United Kingdom
https://www.bayes.citystgeorges.ac.uk/
RePEc:edi:bscituk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. Alev{s} v{C}ern'y & Johannes Ruf & Martin Schweizer, 2025. "Dynamically optimal portfolios for monotone mean--variance preferences," Papers 2503.08272, arXiv.org, revised Mar 2026.
  2. Alev{s} v{C}ern'y & Christoph Czichowsky, 2022. "The law of one price in quadratic hedging and mean-variance portfolio selection," Papers 2210.15613, arXiv.org, revised Sep 2024.
  3. Alev{s} v{C}ern'y & Christoph Czichowsky & Jan Kallsen, 2021. "Numeraire-invariant quadratic hedging and mean--variance portfolio allocation," Papers 2110.09416, arXiv.org, revised Jul 2025.
  4. Alev{s} v{C}ern'y, 2020. "The Hansen ratio in mean--variance portfolio theory," Papers 2007.15980, arXiv.org.
  5. Alev{s} v{C}ern'y & Johannes Ruf, 2020. "Simplified stochastic calculus via semimartingale representations," Papers 2006.11914, arXiv.org, revised Jan 2022.
  6. Alev{s} v{C}ern'y & Johannes Ruf, 2020. "Simplified calculus for semimartingales: Multiplicative compensators and changes of measure," Papers 2006.12765, arXiv.org, revised May 2023.
  7. Alev{s} v{C}ern'y, 2019. "Semimartingale theory of monotone mean--variance portfolio allocation," Papers 1903.06912, arXiv.org, revised Jan 2020.
  8. Alev{s} v{C}ern'y & Johannes Ruf, 2019. "Simplified stochastic calculus with applications in Economics and Finance," Papers 1912.03651, arXiv.org, revised Jan 2021.
  9. Alev{s} v{C}ern'y & Igor Melicherv{c}'ik, 2018. "Simple Explicit Formula for Near-Optimal Stochastic Lifestyling," Papers 1801.00980, arXiv.org, revised Dec 2019.
  10. Pavol Brunovsk'y & Alev{s} v{C}ern'y & J'an Komadel, 2017. "Optimal Trade Execution Under Endogenous Pressure to Liquidate: Theory and Numerical Solutions," Papers 1707.07284, arXiv.org.
  11. Alev{s} v{C}ern'y, 2016. "Discrete-Time Quadratic Hedging of Barrier Options in Exponential L\'{e}vy Model," Papers 1603.03747, arXiv.org.
  12. Alev{s} v{C}ern'y & Stephan Denkl & Jan Kallsen, 2013. "Hedging in L\'evy Models and the Time Step Equivalent of Jumps," Papers 1309.7833, arXiv.org, revised Jul 2017.
  13. Sara Biagini & Alev{s} v{C}ern'y, 2009. "Admissible Strategies in Semimartingale Portfolio Selection," Papers 0910.3936, arXiv.org, revised Dec 2010.
  14. Ales Cerný & Fabio Maccheroni & Massimo Marinacci & Aldo Rustichini, 2008. "On the Computation of Optimal Monotone Mean-Variance Portfolios via Truncated Quadratic Utility," Carlo Alberto Notebooks 79, Collegio Carlo Alberto.
  15. Alev{s} v{C}ern'y & Jan Kallsen, 2007. "On the Structure of General Mean-Variance Hedging Strategies," Papers 0708.1715, arXiv.org, revised Jul 2017.
  16. Chris Brooks & A.Cerny & J. Miffre, 2006. "Optimal Hedging with Higher Moments," ICMA Centre Discussion Papers in Finance icma-dp2006-12, Henley Business School, University of Reading.
  17. David Miles & Ales Cerny, 2001. "Risk, Return and Portfolio Allocation under Alternative Pension Arrangements with Imperfect Financial Markets," CESifo Working Paper Series 441, CESifo.

Articles

  1. Halická, Margaréta & Trnovská, Mária & Černý, Aleš, 2025. "On indication, strict monotonicity, and efficiency of projections in a general class of path-based data envelopment analysis models," European Journal of Operational Research, Elsevier, vol. 320(1), pages 175-187.
  2. Aleš Černý & Christoph Czichowsky, 2025. "The law of one price in quadratic hedging and mean–variance portfolio selection," Finance and Stochastics, Springer, vol. 29(3), pages 847-884, July.
  3. Halická, Margaréta & Trnovská, Mária & Černý, Aleš, 2024. "A unified approach to radial, hyperbolic, and directional efficiency measurement in data envelopment analysis," European Journal of Operational Research, Elsevier, vol. 312(1), pages 298-314.
  4. Aleš Černý & Christoph Czichowsky & Jan Kallsen, 2024. "Numeraire-Invariant Quadratic Hedging and Mean–Variance Portfolio Allocation," Mathematics of Operations Research, INFORMS, vol. 49(2), pages 752-781, May.
  5. Černý, Aleš & Ruf, Johannes, 2023. "Simplified calculus for semimartingales: Multiplicative compensators and changes of measure," Stochastic Processes and their Applications, Elsevier, vol. 161(C), pages 572-602.
  6. Černý, Aleš & Ruf, Johannes, 2021. "Simplified stochastic calculus with applications in Economics and Finance," European Journal of Operational Research, Elsevier, vol. 293(2), pages 547-560.
  7. Černý, Aleš & Melicherčík, Igor, 2020. "Simple explicit formula for near-optimal stochastic lifestyling," European Journal of Operational Research, Elsevier, vol. 284(2), pages 769-778.
  8. Aleš Černý, 2020. "Semimartingale theory of monotone mean–variance portfolio allocation," Mathematical Finance, Wiley Blackwell, vol. 30(3), pages 1168-1178, July.
  9. Sara Biagini & Aleš Černý, 2020. "Convex duality and Orlicz spaces in expected utility maximization," Mathematical Finance, Wiley Blackwell, vol. 30(1), pages 85-127, January.
  10. Brunovský, Pavol & Černý, Aleš & Komadel, Ján, 2018. "Optimal trade execution under endogenous pressure to liquidate: Theory and numerical solutions," European Journal of Operational Research, Elsevier, vol. 264(3), pages 1159-1171.
  11. Tsanakas, Andreas & Wüthrich, Mario V. & Černý, Aleš, 2013. "Market Value Margin Via Mean–Variance Hedging," ASTIN Bulletin, Cambridge University Press, vol. 43(3), pages 301-322, September.
  12. Černý, Aleš & Maccheroni, Fabio & Marinacci, Massimo & Rustichini, Aldo, 2012. "On the computation of optimal monotone mean–variance portfolios via truncated quadratic utility," Journal of Mathematical Economics, Elsevier, vol. 48(6), pages 386-395.
  13. Černý, Aleš & Miles, David & Schmidt, L'Ubomír, 2010. "The impact of changing demographics and pensions on the demand for housing and financial assets," Journal of Pension Economics and Finance, Cambridge University Press, vol. 9(3), pages 393-420, July.
  14. Ales Cerny & Ioannis Kyriakou, 2010. "An improved convolution algorithm for discretely sampled Asian options," Quantitative Finance, Taylor & Francis Journals, vol. 11(3), pages 381-389.
  15. Peter Bank & Aleš Černý, 2009. "Preface," Review of Derivatives Research, Springer, vol. 12(1), pages 1-2, April.
  16. Aleš Černý & Jan Kallsen, 2008. "Mean–Variance Hedging And Optimal Investment In Heston'S Model With Correlation," Mathematical Finance, Wiley Blackwell, vol. 18(3), pages 473-492, July.
  17. Aleš Černý & Jan Kallsen, 2008. "A Counterexample Concerning The Variance‐Optimal Martingale Measure," Mathematical Finance, Wiley Blackwell, vol. 18(2), pages 305-316, April.
  18. Aleš Černý, 2007. "Optimal Continuous‐Time Hedging With Leptokurtic Returns," Mathematical Finance, Wiley Blackwell, vol. 17(2), pages 175-203, April.
  19. David Miles & Ales Cerny, 2006. "Risk, Return and Portfolio Allocation under Alternative Pension Systems with Incomplete and Imperfect Financial Markets," Economic Journal, Royal Economic Society, vol. 116(511), pages 529-557, April.
  20. Ales Cerny, 2004. "Dynamic programming and mean-variance hedging in discrete time," Applied Mathematical Finance, Taylor & Francis Journals, vol. 11(1), pages 1-25.
  21. Aleš Černý, 2003. "Generalised Sharpe Ratios and Asset Pricing in Incomplete Markets," Review of Finance, European Finance Association, vol. 7(2), pages 191-233.
  22. Aleš Cerný & Nicolas Schmitt, 1995. "Antidumping Constraints and Trade Elimination," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 131(3), pages 441-452, September.

Chapters

  1. David Miles & Ales Cerny, 2004. "Alternative pension reform strategies for Japan," Chapters, in: Toshiaki Tachibanaki (ed.), The Economics of Social Security in Japan, chapter 4, Edward Elgar Publishing.

More information

Research fields, statistics, top rankings, if available.

Statistics

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 8 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-RMG: Risk Management (5) 2019-03-25 2020-08-10 2021-10-25 2021-11-29 2025-05-05. Author is listed
  2. NEP-UPT: Utility Models and Prospect Theory (2) 2008-11-11 2009-10-24
  3. NEP-MST: Market Microstructure (1) 2017-07-30
  4. NEP-ORE: Operations Research (1) 2021-11-29

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