Aleš Černý

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Citations	1230	325
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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
Sara BiaginiAssociate Professor of Mathematical Finance, LUISS G. Carli, RomeVerified email at luiss.it
Ioannis KyriakouProfessor of Actuarial Finance, Bayes Business School (formerly Cass), City, University of LondonVerified email at city.ac.uk
Pavel BrunovskýProfessor emeritus, Comenius University BratislavaVerified email at fmph.uniba.sk
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
Margaréta HalickáComenius University in BratislavaVerified email at fmph.uniba.sk
Maria TrnovskaComenius University in BratislavaVerified email at fmph.uniba.sk
Igor MelicherčíkComenius University in Bratislava, Associate ProfessorVerified email at fmph.uniba.sk
Nicolas SchmittProfessor of Economics, Simon Fraser UniversityVerified email at sfu.ca

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


Title Sort by citations Sort by year Sort by title	Cited by Cited by	Year
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	125	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	72	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	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	19	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	15	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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