Aleš Černý : Citation Profile


Are you Aleš Černý?

City University

5

H index

4

i10 index

87

Citations

RESEARCH PRODUCTION:

14

Articles

14

Papers

1

Chapters

RESEARCH ACTIVITY:

   25 years (1995 - 2020). See details.
   Cites by year: 3
   Journals where Aleš Černý has often published
   Relations with other researchers
   Recent citing documents: 7.    Total self citations: 8 (8.42 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/per227
   Updated: 2020-07-04    RAS profile: 2020-04-27    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Aleš Černý.

Is cited by:

TANKOV, PETER (4)

Bovenberg, Lans (3)

Beetsma, Roel (3)

Hanly, Jim (3)

cerrato, mario (2)

Rustichini, Aldo (2)

Romp, Ward (2)

cotter, john (2)

André, Eric (2)

Marinacci, Massimo (2)

lucey, brian (2)

Cites to:

Zeldes, Stephen (14)

Feldstein, Martin (12)

Summers, Lawrence (10)

Skinner, Jonathan (10)

Hubbard, Robert (8)

Mitchell, Olivia (8)

Poterba, James (6)

Kotlikoff, Laurence (6)

Černý, Aleš (5)

Mankiw, N. Gregory (5)

merton, robert (4)

Main data


Where Aleš Černý has published?


Journals with more than one article published# docs
Mathematical Finance4
European Journal of Operational Research2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org8
Carlo Alberto Notebooks / Collegio Carlo Alberto2

Recent works citing Aleš Černý (2020 and 2019)


YearTitle of citing document
2017A closed-form representation of mean-variance hedging for additive processes via Malliavin calculus. (2017). Imai, Yuto ; Arai, Takuji. In: Papers. RePEc:arx:papers:1702.07556.

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2019Option pricing in bilateral Gamma stock models. (2019). Tappe, Stefan ; Kuchler, Uwe. In: Papers. RePEc:arx:papers:1907.09862.

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2019Higher Moments and Exchange Rate Behavior. (2019). Sharma, Susan ; Narayan, Paresh Kumar ; Khademalomoom, Siroos. In: The Financial Review. RePEc:bla:finrev:v:54:y:2019:i:1:p:201-229.

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2019A profitable modification to global quadratic hedging. (2019). Godin, Frederic ; Augustyniak, Maciej ; Simard, Clarence. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:104:y:2019:i:c:p:111-131.

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2019New models of commodity risk hedging according to the behavior of economic decision-makers or Rollover Strategies. (2019). SADEFO, Jules ; Moumouni, Zoulkiflou. In: Working Papers. RePEc:hal:wpaper:hal-02417459.

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2020Hedging Derivatives on Two Assets with Model Risk. (2020). Shimizu, Keita ; Matsumoto, Koichi. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:27:y:2020:i:1:d:10.1007_s10690-019-09283-3.

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2017Hedging with small uncertainty aversion. (2017). Herrmann, Sebastian ; Muhle-Karbe, Johannes ; Seifried, Frank Thomas. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:1:d:10.1007_s00780-016-0309-z.

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Works by Aleš Černý:


YearTitleTypeCited
2017On the Structure of General Mean-Variance Hedging Strategies In: Papers.
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paper12
2010Admissible Strategies in Semimartingale Portfolio Selection In: Papers.
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paper0
2010Admissible strategies in semimartingale portfolio selection.(2010) In: Carlo Alberto Notebooks.
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paper
2017Hedging in L\evy Models and the Time Step Equivalent of Jumps In: Papers.
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paper3
2016Discrete-Time Quadratic Hedging of Barrier Options in Exponential L\{e}vy Model In: Papers.
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paper0
2017Optimal Trade Execution Under Endogenous Pressure to Liquidate: Theory and Numerical Solutions In: Papers.
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paper0
2018Optimal trade execution under endogenous pressure to liquidate: Theory and numerical solutions.(2018) In: European Journal of Operational Research.
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article
2019Simple Explicit Formula for Near-Optimal Stochastic Lifestyling In: Papers.
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paper0
2020Simple explicit formula for near-optimal stochastic lifestyling.(2020) In: European Journal of Operational Research.
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article
2020Semimartingale theory of monotone mean--variance portfolio allocation In: Papers.
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paper0
2020Finance Without Brownian Motions: An Introduction To Simplified Stochastic Calculus In: Papers.
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paper0
2007OPTIMAL CONTINUOUS‐TIME HEDGING WITH LEPTOKURTIC RETURNS In: Mathematical Finance.
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article3
2008A COUNTEREXAMPLE CONCERNING THE VARIANCE‐OPTIMAL MARTINGALE MEASURE In: Mathematical Finance.
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article4
2008MEAN–VARIANCE HEDGING AND OPTIMAL INVESTMENT IN HESTONS MODEL WITH CORRELATION In: Mathematical Finance.
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article7
2020Convex duality and Orlicz spaces in expected utility maximization In: Mathematical Finance.
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article0
2008On the Computation of Optimal Monotone Mean-Variance Portfolios via Truncated Quadratic Utility In: Carlo Alberto Notebooks.
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paper4
2012On the computation of optimal monotone mean–variance portfolios via truncated quadratic utility.(2012) In: Journal of Mathematical Economics.
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This paper has another version. Agregated cites: 4
article
2001Risk, Return and Portfolio Allocation under Alternative Pension Arrangements with Imperfect Financial Markets In: CESifo Working Paper Series.
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paper1
2001Risk Return and Portfolio Allocation under Alternative Pension Systems with Imperfect Financial Markets In: CEPR Discussion Papers.
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paper0
2005The Impact of Changing Demographics and Pensions on The Demand for Housing and Financial Assets In: CEPR Discussion Papers.
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paper4
2006Risk, Return and Portfolio Allocation under Alternative Pension Systems with Incomplete and Imperfect Financial Markets In: Economic Journal.
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article12
2004Alternative pension reform strategies for Japan In: Chapters.
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chapter0
1999Currency Crises: Introduction of Spot Speculators. In: International Journal of Finance & Economics.
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article1
2009Preface In: Review of Derivatives Research.
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article0
2003Generalised Sharpe Ratios and Asset Pricing in Incomplete Markets In: Review of Finance.
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article20
2006Optimal Hedging with Higher Moments In: ICMA Centre Discussion Papers in Finance.
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paper12
1995Antidumping Constraints and Trade Elimination In: Swiss Journal of Economics and Statistics (SJES).
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article0
2004Dynamic programming and mean-variance hedging in discrete time In: Applied Mathematical Finance.
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article4
2010An improved convolution algorithm for discretely sampled Asian options In: Quantitative Finance.
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article0

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