Aleš Černý

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Citations	1214	364
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Co-authors

David MilesImperial CollegeVerified email at imperial.ac.uk
Johannes RufLondon School of EconomicsVerified email at lse.ac.uk
Chris BrooksSchool of Accounting and Finance, University of BristolVerified email at bristol.ac.uk
Joëlle MiffreProfessor of Finance, Audencia Business SchoolVerified email at audencia.com
Pavel BrunovskýProfessor emeritus, Comenius University BratislavaVerified email at fmph.uniba.sk
Sara BiaginiAssociate Professor of Mathematical Finance, LUISS G. Carli, RomeVerified email at luiss.it
Ioannis KyriakouReader in Actuarial Finance, Bayes Business School (formerly Cass), City, University of LondonVerified email at city.ac.uk
Andreas TsanakasProfessor of Risk Management, Bayes Business School, City, University of LondonVerified email at city.ac.uk
Fabio Angelo MaccheroniUniversità BocconiVerified email at unibocconi.it
massimo marinacciUniversità BocconiVerified email at unibocconi.it
Aldo RustichiniProfessor of Economics, University of MinnesotaVerified email at umn.edu
Christoph CzichowskyAssociate Professor of Mathematics, London School of Economics and Political ScienceVerified email at lse.ac.uk
Igor MelicherčíkComenius University in Bratislava, Associate ProfessorVerified email at fmph.uniba.sk
Nicolas SchmittProfessor of Economics, Simon Fraser UniversityVerified email at sfu.ca
Margaréta HalickáComenius University in BratislavaVerified email at fmph.uniba.sk
Maria TrnovskaComenius University in BratislavaVerified email at fmph.uniba.sk

Aleš Černý

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

Verified email at city.ac.uk

Asset Pricing and Hedging in Incomplete Markets Performance Measurement


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Mathematical techniques in finance: Tools for incomplete markets A Černý Princeton University Press, 2009	172	2009
On the structure of general mean-variance hedging strategies A Černý, J Kallsen Annals of Probability 35 (4), 1479-1531, 2007	150	2007
Generalised Sharpe ratios and asset pricing in incomplete markets A Černý Review of Finance 7 (2), 191-233, 2003	122	2003
The theory of good-deal pricing in incomplete markets A Černý, S Hodges Mathematical Finance–Bachelier Congress 2000, 175-202, 2002	100*	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	69	2004
Hedging by sequential regressions revisited A Černý, J Kallsen Mathematical Finance 19 (4), 591-617, 2009	61	2009
Dynamic programming and mean‐variance hedging in discrete time A Černý Applied Mathematical Finance 11 (1), 1-25, 2004	61	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	49*	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	19	2013
A counterexample concerning the variance‐optimal martingale measure A Černý, J Kallsen Mathematical Finance 18 (2), 305-316, 2008	17	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	13	2020
Optimal trade execution under endogenous pressure to liquidate: Theory and numerical solutions P Brunovský, A Černý, J Komadel European Journal of Operational Research 264 (3), 1159-1171, 2018	12	2018
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

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