Aleš Černý

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	Toate	Din 2019
Referințe bibliografice	1234	329
h-index	16	12
i10-index	23	12

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Coautori

David MilesImperial CollegeAdresă de e-mail confirmată pe imperial.ac.uk
Johannes RufLondon School of EconomicsAdresă de e-mail confirmată pe lse.ac.uk
Chris BrooksSchool of Accounting and Finance, University of BristolAdresă de e-mail confirmată pe bristol.ac.uk
Joëlle MiffreProfessor of Finance, Audencia Business SchoolAdresă de e-mail confirmată pe audencia.com
Sara BiaginiAssociate Professor of Mathematical Finance, LUISS G. Carli, RomeAdresă de e-mail confirmată pe luiss.it
Ioannis KyriakouProfessor of Actuarial Finance, Bayes Business School (formerly Cass), City, University of LondonAdresă de e-mail confirmată pe city.ac.uk
Pavel BrunovskýProfessor emeritus, Comenius University BratislavaAdresă de e-mail confirmată pe fmph.uniba.sk
Andreas TsanakasProfessor of Risk Management, Bayes Business School, City, University of LondonAdresă de e-mail confirmată pe city.ac.uk
Fabio Angelo MaccheroniUniversità BocconiAdresă de e-mail confirmată pe unibocconi.it
massimo marinacciUniversità BocconiAdresă de e-mail confirmată pe unibocconi.it
Aldo RustichiniProfessor of Economics, University of MinnesotaAdresă de e-mail confirmată pe umn.edu
Christoph CzichowskyAssociate Professor of Mathematics, London School of Economics and Political ScienceAdresă de e-mail confirmată pe lse.ac.uk
Margaréta HalickáComenius University in BratislavaAdresă de e-mail confirmată pe fmph.uniba.sk
Maria TrnovskaComenius University in BratislavaAdresă de e-mail confirmată pe fmph.uniba.sk
Igor MelicherčíkComenius University in Bratislava, Associate ProfessorAdresă de e-mail confirmată pe fmph.uniba.sk
Nicolas SchmittProfessor of Economics, Simon Fraser UniversityAdresă de e-mail confirmată pe sfu.ca

Urmăriți

Aleš Černý

Professor of Finance, Bayes Business School, City, University of London

Adresă de e-mail confirmată pe city.ac.uk

Asset Pricing and Hedging in Incomplete Markets Performance Measurement


Titlu Sortați după descrierea bibliografică Sortați după an Sortați după titlu	Citat de Citat de	Anul
Mathematical techniques in finance: Tools for incomplete markets A Černý Princeton University Press, 2009	173	2009
On the structure of general mean-variance hedging strategies A Černý, J Kallsen Annals of Probability 35 (4), 1479-1531, 2007	154	2007
Generalised Sharpe ratios and asset pricing in incomplete markets A Černý Review of Finance 7 (2), 191-233, 2003	124	2003
The theory of good-deal pricing in incomplete markets A Černý, S Hodges Mathematical Finance–Bachelier Congress 2000, 175-202, 2002	104*	2002
An improved convolution algorithm for discretely sampled Asian options A Černý, I Kyriakou Quantitative Finance 11 (3), 381-389, 2011	73	2011
Introduction to fast Fourier transform in Finance A Černý Journal of Derivatives 12 (1), 73-88, 2004	70	2004
Hedging by sequential regressions revisited A Černý, J Kallsen Mathematical Finance 19 (4), 591-617, 2009	62	2009
Dynamic programming and mean‐variance hedging in discrete time A Černý Applied Mathematical Finance 11 (1), 1-25, 2004	62	2004
Mean–variance hedging and optimal investment in Heston's model with correlation A Černý, J Kallsen Mathematical Finance 18 (3), 473-492, 2008	59	2008
Optimal hedging with higher moments C Brooks, A Černý, J Miffre Journal of Futures Markets 32 (10), 909-944, 2012	51*	2012
Risk, return, and portfolio allocation under alternative pension systems with incomplete and imperfect financial markets D Miles, A Černý Economic Journal 116 (511), 529-557, 2006	50*	2006
The impact of changing demographics and pensions on the demand for housing and financial assets A Černý, DK Miles, Ľ Schmidt Journal of Pension Economics and Finance 9 (3), 393-420, 2010	29	2010
Optimal continuous‐time hedging with leptokurtic returns A Černý Mathematical Finance 17 (2), 175-203, 2007	28	2007
Admissible strategies in semimartingale portfolio selection S Biagini, A Černý SIAM Journal on Control and Optimization 49 (1), 42-72, 2011	22	2011
Market value margin via mean-variance hedging A Tsanakas, M Wuthrich, A Černý ASTIN Bulletin 43 (3), 301-322, 2013	20	2013
A counterexample concerning the variance‐optimal martingale measure A Černý, J Kallsen Mathematical Finance 18 (2), 305-316, 2008	18	2008
On the computation of optimal monotone mean-variance portfolios via truncated quadratic utility A Černý, F Maccheroni, M Marinacci, A Rustichini Journal of Mathematical Economics 48 (6), 386-395, 2012	16	2012
Semimartingale theory of monotone mean-variance portfolio allocation A Černý Mathematical Finance 30 (3), 1168-1178, 2020	14	2020
Characterization of the oblique projector U (VU)† V with application to constrained least squares A Černý Linear Algebra and Its Applications 431 (9), 1564-1570, 2009	12	2009
Alternative pension reform strategies for Japan A Černý, DK Miles The Economics of Social Security in Japan, ESRI Studies on Ageing, 75-135, 2004	12*	2004

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