7
H index
5
i10 index
148
Citations
Aleš Černý : Citation Profile
City St George's | RESEARCH PRODUCTION: 22 Articles 21 Papers 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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30 years (1995 - 2025). 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:
| Cites to:
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Main data
Where Aleš Černý has published?
| Journals with more than one article published | # docs |
|---|---|
| European Journal of Operational Research | 5 |
| Mathematical Finance | 5 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Papers / arXiv.org | 14 |
| Carlo Alberto Notebooks / Collegio Carlo Alberto | 2 |
Recent works citing Aleš Černý (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2024 | Many-insurer robust games of reinsurance and investment under model uncertainty in incomplete markets. (2024). Xia, YI ; Liang, Zongxia ; Guan, Guohui. In: Papers. RePEc:arx:papers:2412.09157. Full description at Econpapers || Download paper |
| 2025 | Dual Formulation of the Optimal Consumption problem with Multiplicative Habit Formation. (2025). Pelsser, Antoon ; Kamma, Thijs. In: Papers. RePEc:arx:papers:2502.13678. Full description at Econpapers || Download paper |
| 2025 | Learning to optimize convex risk measures: The cases of utility-based shortfall risk and optimized certainty equivalent risk. (2025). Gupte, Sumedh ; Bhat, Sanjay P. In: Papers. RePEc:arx:papers:2506.01101. Full description at Econpapers || Download paper |
| 2025 | Solving dynamic portfolio selection problems via score-based diffusion models. (2025). Bayraktar, Erhan ; Yuan, Fengyi ; Aghapour, Ahmad. In: Papers. RePEc:arx:papers:2507.09916. Full description at Econpapers || Download paper |
| 2025 | Measuring technical efficiency under variable returns to scale using Debreus loss function. (2025). Martnez-Budra, Eduardo ; Cova-Alonso, David-Jos ; Daz-Hernndez, Juan Jos. In: European Journal of Operational Research. RePEc:eee:ejores:v:323:y:2025:i:3:p:975-987. Full description at Econpapers || Download paper |
| 2024 | Dynamic connectedness in the higher moments between clean energy and oil prices. (2024). Pham, Linh ; Hao, Wei. In: Energy Economics. RePEc:eee:eneeco:v:140:y:2024:i:c:s0140988324006959. Full description at Econpapers || Download paper |
| 2024 | Coping with longevity via hedging: Fair dynamic valuation of variable annuities. (2024). Chen, ZE ; Yang, Tianyu ; Feng, Runhuan ; Li, Hong. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:117:y:2024:i:c:p:154-169. Full description at Econpapers || Download paper |
| 2025 | The impacts of exchange rate fluctuations on the international air transport. (2025). Wang, Kun ; Li, Hongchang ; Fan, Keke ; Ma, Wenliang ; He, Yulu. In: Transportation Research Part A: Policy and Practice. RePEc:eee:transa:v:198:y:2025:i:c:s096585642500151x. Full description at Econpapers || Download paper |
| 2024 | Efficient portfolios and extreme risks: a ParetoâDirichlet approach. (2024). Courtois, Olivier ; Xu, Xia. In: Annals of Operations Research. RePEc:spr:annopr:v:335:y:2024:i:1:d:10.1007_s10479-023-05507-y. Full description at Econpapers || Download paper |
| 2024 | A Stackelberg order execution game. (2024). Han, Qiaoming ; Dong, Yinhong ; Xu, Dachuan ; Ren, Jianfeng ; Du, Donglei. In: Annals of Operations Research. RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-022-05120-5. Full description at Econpapers || Download paper |
| 2025 | Path-based DEA models in multiplier form and returns-to-scale analysis. (2025). Hrdina, Jakub ; Halick, Margarta ; Trnovsk, Mria. In: Annals of Operations Research. RePEc:spr:annopr:v:351:y:2025:i:2:d:10.1007_s10479-024-06384-9. Full description at Econpapers || Download paper |
| 2025 | The effects of skewness and kurtosis on production and hedging decisions: a Gram-Charlier expansion approach. (2025). Jiang, Xuejun ; Cheng, Lingju ; Dai, Xinjie. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-024-00680-w. Full description at Econpapers || Download paper |
| 2025 | Optimal Monotone Mean-Variance Problem in a Catastrophe Insurance Model. (2025). Li, Bohan ; Guo, Junyi ; Liang, Xiaoqing. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:27:y:2025:i:1:d:10.1007_s11009-024-10134-6. Full description at Econpapers || Download paper |
| 2024 | A deep learningâbased financial hedging approach for the effective management of commodity risks. (2024). Hu, Yan ; Ni, Jian. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:6:p:879-900. Full description at Econpapers || Download paper |
Works by Aleš Černý:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2017 | On the Structure of General Mean-Variance Hedging Strategies In: Papers. [Full Text][Citation analysis] | paper | 15 |
| 2010 | Admissible Strategies in Semimartingale Portfolio Selection In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2010 | Admissible strategies in semimartingale portfolio selection.(2010) In: Carlo Alberto Notebooks. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2017 | Hedging in L\evy Models and the Time Step Equivalent of Jumps In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2016 | Discrete-Time Quadratic Hedging of Barrier Options in Exponential L\{e}vy Model In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Optimal Trade Execution Under Endogenous Pressure to Liquidate: Theory and Numerical Solutions In: Papers. [Full Text][Citation analysis] | paper | 7 |
| 2018 | Optimal trade execution under endogenous pressure to liquidate: Theory and numerical solutions.(2018) In: European Journal of Operational Research. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
| 2019 | Simple Explicit Formula for Near-Optimal Stochastic Lifestyling In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2020 | Simple explicit formula for near-optimal stochastic lifestyling.(2020) In: European Journal of Operational Research. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2020 | Semimartingale theory of monotone mean--variance portfolio allocation In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2020 | Semimartingale theory of monotone meanâvariance portfolio allocation.(2020) In: Mathematical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2021 | Simplified stochastic calculus with applications in Economics and Finance In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2021 | Simplified stochastic calculus with applications in Economics and Finance.(2021) In: European Journal of Operational Research. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2020 | Simplified stochastic calculus with applications in economics and finance.(2020) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2022 | Simplified stochastic calculus via semimartingale representations In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Simplified calculus for semimartingales: Multiplicative compensators and changes of measure In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Simplified calculus for semimartingales: Multiplicative compensators and changes of measure.(2023) In: Stochastic Processes and their Applications. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2020 | The Hansen ratio in mean--variance portfolio theory In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2025 | Numeraire-invariant quadratic hedging and mean--variance portfolio allocation In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2021 | Numeraire-invariant quadratic hedging and meanâvariance portfolio allocation.(2021) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2024 | Numeraire-Invariant Quadratic Hedging and MeanâVariance Portfolio Allocation.(2024) In: Mathematics of Operations Research. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2024 | The law of one price in quadratic hedging and mean-variance portfolio selection In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2025 | The law of one price in quadratic hedging and meanâvariance portfolio selection.(2025) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2025 | The law of one price in quadratic hedging and meanâvariance portfolio selection.(2025) In: Finance and Stochastics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2025 | Dynamically optimal portfolios for monotone mean--variance preferences In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2007 | OPTIMAL CONTINUOUSâTIME HEDGING WITH LEPTOKURTIC RETURNS In: Mathematical Finance. [Full Text][Citation analysis] | article | 3 |
| 2008 | A COUNTEREXAMPLE CONCERNING THE VARIANCEâOPTIMAL MARTINGALE MEASURE In: Mathematical Finance. [Full Text][Citation analysis] | article | 4 |
| 2008 | MEANâVARIANCE HEDGING AND OPTIMAL INVESTMENT IN HESTONS MODEL WITH CORRELATION In: Mathematical Finance. [Full Text][Citation analysis] | article | 10 |
| 2020 | Convex duality and Orlicz spaces in expected utility maximization In: Mathematical Finance. [Full Text][Citation analysis] | article | 1 |
| 2008 | On the Computation of Optimal Monotone Mean-Variance Portfolios via Truncated Quadratic Utility In: Carlo Alberto Notebooks. [Full Text][Citation analysis] | paper | 6 |
| 2012 | On the computation of optimal monotone meanâvariance portfolios via truncated quadratic utility.(2012) In: Journal of Mathematical Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
| 2001 | Risk, Return and Portfolio Allocation under Alternative Pension Arrangements with Imperfect Financial Markets In: CESifo Working Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 2013 | MARKET VALUE MARGIN VIA MEANâVARIANCE HEDGING In: ASTIN Bulletin. [Full Text][Citation analysis] | article | 9 |
| 2010 | The impact of changing demographics and pensions on the demand for housing and financial assets* In: Journal of Pension Economics and Finance. [Full Text][Citation analysis] | article | 6 |
| 2006 | Risk, Return and Portfolio Allocation under Alternative Pension Systems with Incomplete and Imperfect Financial Markets In: Economic Journal. [Full Text][Citation analysis] | article | 20 |
| 2024 | A unified approach to radial, hyperbolic, and directional efficiency measurement in data envelopment analysis In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 2 |
| 2025 | On indication, strict monotonicity, and efficiency of projections in a general class of path-based data envelopment analysis models In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 0 |
| 2004 | Alternative pension reform strategies for Japan In: Chapters. [Full Text][Citation analysis] | chapter | 1 |
| 2009 | Preface In: Review of Derivatives Research. [Full Text][Citation analysis] | article | 0 |
| 2003 | Generalised Sharpe Ratios and Asset Pricing in Incomplete Markets In: Review of Finance. [Full Text][Citation analysis] | article | 26 |
| 2006 | Optimal Hedging with Higher Moments In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] | paper | 22 |
| 1995 | Antidumping Constraints and Trade Elimination In: Swiss Journal of Economics and Statistics (SJES). [Full Text][Citation analysis] | article | 0 |
| 2004 | Dynamic programming and mean-variance hedging in discrete time In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 5 |
| 2010 | An improved convolution algorithm for discretely sampled Asian options In: Quantitative Finance. [Full Text][Citation analysis] | article | 2 |
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