IDEAS home Printed from https://ideas.repec.org/e/pxx23.html
   My authors  Follow this author

Aleš Černý

Personal Details

First Name:Ales
Middle Name:
Last Name:Cerny
Suffix:
RePEc Short-ID:pxx23
[This author has chosen not to make the email address public]

Affiliation

Bayes Business School
City St George's

London, United Kingdom
https://www.bayes.citystgeorges.ac.uk/
RePEc:edi:bscituk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. Alev{s} v{C}ern'y & Johannes Ruf & Martin Schweizer, 2025. "Dynamically optimal portfolios for monotone mean--variance preferences," Papers 2503.08272, arXiv.org.
  2. Alev{s} v{C}ern'y & Christoph Czichowsky, 2022. "The law of one price in quadratic hedging and mean-variance portfolio selection," Papers 2210.15613, arXiv.org, revised Sep 2024.
  3. Alev{s} v{C}ern'y & Christoph Czichowsky & Jan Kallsen, 2021. "Numeraire-invariant quadratic hedging and mean--variance portfolio allocation," Papers 2110.09416, arXiv.org, revised Jan 2023.
  4. Alev{s} v{C}ern'y, 2020. "The Hansen ratio in mean--variance portfolio theory," Papers 2007.15980, arXiv.org.
  5. Alev{s} v{C}ern'y & Johannes Ruf, 2020. "Simplified stochastic calculus via semimartingale representations," Papers 2006.11914, arXiv.org, revised Jan 2022.
  6. Alev{s} v{C}ern'y & Johannes Ruf, 2020. "Simplified calculus for semimartingales: Multiplicative compensators and changes of measure," Papers 2006.12765, arXiv.org, revised May 2023.
  7. Alev{s} v{C}ern'y, 2019. "Semimartingale theory of monotone mean--variance portfolio allocation," Papers 1903.06912, arXiv.org, revised Jan 2020.
  8. Alev{s} v{C}ern'y & Johannes Ruf, 2019. "Simplified stochastic calculus with applications in Economics and Finance," Papers 1912.03651, arXiv.org, revised Jan 2021.
  9. Alev{s} v{C}ern'y & Igor Melicherv{c}'ik, 2018. "Simple Explicit Formula for Near-Optimal Stochastic Lifestyling," Papers 1801.00980, arXiv.org, revised Dec 2019.
  10. Pavol Brunovsk'y & Alev{s} v{C}ern'y & J'an Komadel, 2017. "Optimal Trade Execution Under Endogenous Pressure to Liquidate: Theory and Numerical Solutions," Papers 1707.07284, arXiv.org.
  11. Alev{s} v{C}ern'y, 2016. "Discrete-Time Quadratic Hedging of Barrier Options in Exponential L\'{e}vy Model," Papers 1603.03747, arXiv.org.
  12. Alev{s} v{C}ern'y & Stephan Denkl & Jan Kallsen, 2013. "Hedging in L\'evy Models and the Time Step Equivalent of Jumps," Papers 1309.7833, arXiv.org, revised Jul 2017.
  13. Sara Biagini & Alev{s} v{C}ern'y, 2009. "Admissible Strategies in Semimartingale Portfolio Selection," Papers 0910.3936, arXiv.org, revised Dec 2010.
  14. Ales Cerný & Fabio Maccheroni & Massimo Marinacci & Aldo Rustichini, 2008. "On the Computation of Optimal Monotone Mean-Variance Portfolios via Truncated Quadratic Utility," Carlo Alberto Notebooks 79, Collegio Carlo Alberto.
  15. Alev{s} v{C}ern'y & Jan Kallsen, 2007. "On the Structure of General Mean-Variance Hedging Strategies," Papers 0708.1715, arXiv.org, revised Jul 2017.
  16. Chris Brooks & A.Cerny & J. Miffre, 2006. "Optimal Hedging with Higher Moments," ICMA Centre Discussion Papers in Finance icma-dp2006-12, Henley Business School, University of Reading.
  17. David Miles & Ales Cerny, 2001. "Risk, Return and Portfolio Allocation under Alternative Pension Arrangements with Imperfect Financial Markets," CESifo Working Paper Series 441, CESifo.

Articles

  1. Halická, Margaréta & Trnovská, Mária & Černý, Aleš, 2025. "On indication, strict monotonicity, and efficiency of projections in a general class of path-based data envelopment analysis models," European Journal of Operational Research, Elsevier, vol. 320(1), pages 175-187.
  2. Halická, Margaréta & Trnovská, Mária & Černý, Aleš, 2024. "A unified approach to radial, hyperbolic, and directional efficiency measurement in data envelopment analysis," European Journal of Operational Research, Elsevier, vol. 312(1), pages 298-314.
  3. Aleš Černý & Christoph Czichowsky & Jan Kallsen, 2024. "Numeraire-Invariant Quadratic Hedging and Mean–Variance Portfolio Allocation," Mathematics of Operations Research, INFORMS, vol. 49(2), pages 752-781, May.
  4. Černý, Aleš & Ruf, Johannes, 2023. "Simplified calculus for semimartingales: Multiplicative compensators and changes of measure," Stochastic Processes and their Applications, Elsevier, vol. 161(C), pages 572-602.
  5. Černý, Aleš & Ruf, Johannes, 2021. "Simplified stochastic calculus with applications in Economics and Finance," European Journal of Operational Research, Elsevier, vol. 293(2), pages 547-560.
  6. Černý, Aleš & Melicherčík, Igor, 2020. "Simple explicit formula for near-optimal stochastic lifestyling," European Journal of Operational Research, Elsevier, vol. 284(2), pages 769-778.
  7. Aleš Černý, 2020. "Semimartingale theory of monotone mean–variance portfolio allocation," Mathematical Finance, Wiley Blackwell, vol. 30(3), pages 1168-1178, July.
  8. Sara Biagini & Aleš Černý, 2020. "Convex duality and Orlicz spaces in expected utility maximization," Mathematical Finance, Wiley Blackwell, vol. 30(1), pages 85-127, January.
  9. Brunovský, Pavol & Černý, Aleš & Komadel, Ján, 2018. "Optimal trade execution under endogenous pressure to liquidate: Theory and numerical solutions," European Journal of Operational Research, Elsevier, vol. 264(3), pages 1159-1171.
  10. Tsanakas, Andreas & Wüthrich, Mario V. & Černý, Aleš, 2013. "Market Value Margin Via Mean–Variance Hedging," ASTIN Bulletin, Cambridge University Press, vol. 43(3), pages 301-322, September.
  11. Černý, Aleš & Maccheroni, Fabio & Marinacci, Massimo & Rustichini, Aldo, 2012. "On the computation of optimal monotone mean–variance portfolios via truncated quadratic utility," Journal of Mathematical Economics, Elsevier, vol. 48(6), pages 386-395.
  12. Černý, Aleš & Miles, David & Schmidt, L'Ubomír, 2010. "The impact of changing demographics and pensions on the demand for housing and financial assets," Journal of Pension Economics and Finance, Cambridge University Press, vol. 9(3), pages 393-420, July.
  13. Ales Cerny & Ioannis Kyriakou, 2010. "An improved convolution algorithm for discretely sampled Asian options," Quantitative Finance, Taylor & Francis Journals, vol. 11(3), pages 381-389.
  14. Peter Bank & Aleš Černý, 2009. "Preface," Review of Derivatives Research, Springer, vol. 12(1), pages 1-2, April.
  15. Aleš Černý & Jan Kallsen, 2008. "Mean–Variance Hedging And Optimal Investment In Heston'S Model With Correlation," Mathematical Finance, Wiley Blackwell, vol. 18(3), pages 473-492, July.
  16. Aleš Černý & Jan Kallsen, 2008. "A Counterexample Concerning The Variance‐Optimal Martingale Measure," Mathematical Finance, Wiley Blackwell, vol. 18(2), pages 305-316, April.
  17. Aleš Černý, 2007. "Optimal Continuous‐Time Hedging With Leptokurtic Returns," Mathematical Finance, Wiley Blackwell, vol. 17(2), pages 175-203, April.
  18. David Miles & Ales Cerny, 2006. "Risk, Return and Portfolio Allocation under Alternative Pension Systems with Incomplete and Imperfect Financial Markets," Economic Journal, Royal Economic Society, vol. 116(511), pages 529-557, April.
  19. Ales Cerny, 2004. "Dynamic programming and mean-variance hedging in discrete time," Applied Mathematical Finance, Taylor & Francis Journals, vol. 11(1), pages 1-25.
  20. Aleš Černý, 2003. "Generalised Sharpe Ratios and Asset Pricing in Incomplete Markets," Review of Finance, European Finance Association, vol. 7(2), pages 191-233.
  21. Aleš Cerný & Nicolas Schmitt, 1995. "Antidumping Constraints and Trade Elimination," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 131(III), pages 441-452, September.

Chapters

  1. David Miles & Ales Cerny, 2004. "Alternative pension reform strategies for Japan," Chapters, in: Toshiaki Tachibanaki (ed.), The Economics of Social Security in Japan, chapter 4, Edward Elgar Publishing.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Alev{s} v{C}ern'y & Johannes Ruf, 2020. "Simplified stochastic calculus via semimartingale representations," Papers 2006.11914, arXiv.org, revised Jan 2022.

    Cited by:

    1. Černý, Aleš & Ruf, Johannes, 2020. "Simplified stochastic calculus with applications in economics and finance," LSE Research Online Documents on Economics 108156, London School of Economics and Political Science, LSE Library.
    2. Černý, Aleš & Ruf, Johannes, 2023. "Simplified calculus for semimartingales: Multiplicative compensators and changes of measure," Stochastic Processes and their Applications, Elsevier, vol. 161(C), pages 572-602.

  2. Alev{s} v{C}ern'y & Johannes Ruf, 2020. "Simplified calculus for semimartingales: Multiplicative compensators and changes of measure," Papers 2006.12765, arXiv.org, revised May 2023.

    Cited by:

    1. Alev{s} v{C}ern'y & Johannes Ruf, 2020. "Simplified stochastic calculus via semimartingale representations," Papers 2006.11914, arXiv.org, revised Jan 2022.
    2. Černý, Aleš & Czichowsky, Christoph & Kallsen, Jan, 2021. "Numeraire-invariant quadratic hedging and mean–variance portfolio allocation," LSE Research Online Documents on Economics 112612, London School of Economics and Political Science, LSE Library.
    3. Černý, Aleš & Ruf, Johannes, 2020. "Simplified stochastic calculus with applications in economics and finance," LSE Research Online Documents on Economics 108156, London School of Economics and Political Science, LSE Library.

  3. Alev{s} v{C}ern'y, 2019. "Semimartingale theory of monotone mean--variance portfolio allocation," Papers 1903.06912, arXiv.org, revised Jan 2020.

    Cited by:

    1. Bohan Li & Junyi Guo & Xiaoqing Liang, 2025. "Optimal Monotone Mean-Variance Problem in a Catastrophe Insurance Model," Methodology and Computing in Applied Probability, Springer, vol. 27(1), pages 1-37, March.
    2. Yang Shen & Bin Zou, 2022. "Cone-constrained Monotone Mean-Variance Portfolio Selection Under Diffusion Models," Papers 2205.15905, arXiv.org.
    3. Alev{s} v{C}ern'y, 2020. "The Hansen ratio in mean--variance portfolio theory," Papers 2007.15980, arXiv.org.
    4. Carlo Alberto Magni & Andrea Marchioni, 2022. "Performance attribution, time-weighted rate of return, and clean finite change sensitivity index," Journal of Asset Management, Palgrave Macmillan, vol. 23(1), pages 62-72, February.

  4. Alev{s} v{C}ern'y & Johannes Ruf, 2019. "Simplified stochastic calculus with applications in Economics and Finance," Papers 1912.03651, arXiv.org, revised Jan 2021.

    Cited by:

    1. Černý, Aleš & Ruf, Johannes, 2023. "Simplified calculus for semimartingales: Multiplicative compensators and changes of measure," Stochastic Processes and their Applications, Elsevier, vol. 161(C), pages 572-602.

  5. Alev{s} v{C}ern'y & Igor Melicherv{c}'ik, 2018. "Simple Explicit Formula for Near-Optimal Stochastic Lifestyling," Papers 1801.00980, arXiv.org, revised Dec 2019.

    Cited by:

    1. Gerrard, Russell & Kyriakou, Ioannis & Nielsen, Jens Perch & Vodička, Peter, 2023. "On optimal constrained investment strategies for long-term savers in stochastic environments and probability hedging," European Journal of Operational Research, Elsevier, vol. 307(2), pages 948-962.

  6. Pavol Brunovsk'y & Alev{s} v{C}ern'y & J'an Komadel, 2017. "Optimal Trade Execution Under Endogenous Pressure to Liquidate: Theory and Numerical Solutions," Papers 1707.07284, arXiv.org.

    Cited by:

    1. Hugo E. Ramirez & Juli'an Fernando Sanchez, 2023. "Optimal liquidation with temporary and permanent price impact, an application to cryptocurrencies," Papers 2303.10043, arXiv.org.
    2. Li, Xin & Liu, Haibo & Tang, Qihe & Zhu, Jinxia, 2020. "Liquidation risk in insurance under contemporary regulatory frameworks," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 36-49.
    3. Sadoghi, Amirhossein & Vecer, Jan, 2022. "Optimal liquidation problem in illiquid markets," European Journal of Operational Research, Elsevier, vol. 296(3), pages 1050-1066.
    4. Amirhossein Sadoghi & Jan Vecer, 2022. "Optimal liquidation problem in illiquid markets," Post-Print hal-03696768, HAL.
    5. Josef Jablonský & Michal Černý & Juraj Pekár, 2022. "The last dozen of years of OR research in Czechia and Slovakia," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 30(2), pages 435-447, June.
    6. Ramirez, H & Sanchez, J. F, 2023. "Optimal liquidation with temporary and permanent price impact, an application to cryptocurrencies," Documentos de Trabajo 20669, Universidad del Rosario.

  7. Alev{s} v{C}ern'y & Stephan Denkl & Jan Kallsen, 2013. "Hedging in L\'evy Models and the Time Step Equivalent of Jumps," Papers 1309.7833, arXiv.org, revised Jul 2017.

    Cited by:

    1. Zorana Grbac & David Krief & Peter Tankov, 2015. "Approximate Option Pricing in the L\'evy Libor Model," Papers 1511.08466, arXiv.org, revised Jul 2016.
    2. Sebastian Herrmann & Johannes Muhle-Karbe & Frank Thomas Seifried, 2017. "Hedging with small uncertainty aversion," Finance and Stochastics, Springer, vol. 21(1), pages 1-64, January.
    3. Alev{s} v{C}ern'y, 2016. "Discrete-Time Quadratic Hedging of Barrier Options in Exponential L\'{e}vy Model," Papers 1603.03747, arXiv.org.
    4. Sebastian Herrmann & Johannes Muhle-Karbe & Frank Thomas Seifried, 2016. "Hedging with Small Uncertainty Aversion," Papers 1605.06429, arXiv.org.

  8. Ales Cerný & Fabio Maccheroni & Massimo Marinacci & Aldo Rustichini, 2008. "On the Computation of Optimal Monotone Mean-Variance Portfolios via Truncated Quadratic Utility," Carlo Alberto Notebooks 79, Collegio Carlo Alberto.

    Cited by:

    1. Fabio Maccheroni & Massimo Marinacci & Aldo Rustichini & Marco Taboga, 2008. "Portfolio Selection with Monotone Mean-Variance Preferences," Temi di discussione (Economic working papers) 664, Bank of Italy, Economic Research and International Relations Area.
    2. Alev{s} v{C}ern'y, 2019. "Semimartingale theory of monotone mean--variance portfolio allocation," Papers 1903.06912, arXiv.org, revised Jan 2020.
    3. Samuel Drapeau & Michael Kupper & Antonis Papapantoleon, 2012. "A Fourier Approach to the Computation of CV@R and Optimized Certainty Equivalents," Papers 1212.6732, arXiv.org, revised Dec 2013.
    4. Éric André, 2014. "Crisp Fair Gambles," AMSE Working Papers 1410, Aix-Marseille School of Economics, France, revised 15 Mar 2014.
    5. Yang Shen & Bin Zou, 2022. "Cone-constrained Monotone Mean-Variance Portfolio Selection Under Diffusion Models," Papers 2205.15905, arXiv.org.

  9. Alev{s} v{C}ern'y & Jan Kallsen, 2007. "On the Structure of General Mean-Variance Hedging Strategies," Papers 0708.1715, arXiv.org, revised Jul 2017.

    Cited by:

    1. Jan Kallsen & Johannes Muhle-Karbe & Richard Vierthauer, 2009. "Asymptotic Power Utility-Based Pricing and Hedging," Papers 0912.3362, arXiv.org, revised Jan 2013.
    2. Mats Brod'en & Peter Tankov, 2010. "Tracking errors from discrete hedging in exponential L\'evy models," Papers 1003.0709, arXiv.org.
    3. Jan Kallsen & Johannes Muhle-Karbe, 2013. "The General Structure of Optimal Investment and Consumption with Small Transaction Costs," Papers 1303.3148, arXiv.org, revised May 2015.
    4. Takuji Arai & Yuto Imai, 2017. "A closed-form representation of mean-variance hedging for additive processes via Malliavin calculus," Papers 1702.07556, arXiv.org, revised Nov 2017.
    5. Badescu, Alexandru & Elliott, Robert J. & Ortega, Juan-Pablo, 2014. "Quadratic hedging schemes for non-Gaussian GARCH models," Journal of Economic Dynamics and Control, Elsevier, vol. 42(C), pages 13-32.
    6. Mathieu Rosenbaum & Peter Tankov, 2011. "Asymptotically optimal discretization of hedging strategies with jumps," Papers 1108.5940, arXiv.org, revised Apr 2014.
    7. Aleš Černý, 2007. "Optimal Continuous‐Time Hedging With Leptokurtic Returns," Mathematical Finance, Wiley Blackwell, vol. 17(2), pages 175-203, April.
    8. Alexandru Badescu & Robert J. Elliott & Juan-Pablo Ortega, 2012. "Quadratic hedging schemes for non-Gaussian GARCH models," Papers 1209.5976, arXiv.org, revised Dec 2013.
    9. Liao Wang & Johannes Wissel, 2013. "Mean-variance hedging with oil futures," Finance and Stochastics, Springer, vol. 17(4), pages 641-683, October.
    10. Aleš Černý & Jan Kallsen, 2008. "Mean–Variance Hedging And Optimal Investment In Heston'S Model With Correlation," Mathematical Finance, Wiley Blackwell, vol. 18(3), pages 473-492, July.
    11. Tahir Choulli & Jun Deng, 2014. "Structure conditions under progressively added information," Papers 1403.3459, arXiv.org, revised Dec 2018.
    12. Thorsten Rheinländer & Jenny Sexton, 2011. "Hedging Derivatives," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8062.
    13. Stephane Goutte & Armand Ngoupeyou, 2012. "Optimization problem and mean variance hedging on defaultable claims," Papers 1209.5953, arXiv.org.
    14. Wanyang Dai, 2014. "Mean-variance hedging based on an incomplete market with external risk factors of non-Gaussian OU processes," Papers 1410.0991, arXiv.org, revised Aug 2015.
    15. Bruno R'emillard & Sylvain Rubenthaler, 2012. "Optimal hedging in discrete time," Papers 1211.5035, arXiv.org.
    16. Cl'ement M'enass'e & Peter Tankov, 2015. "Asymptotic indifference pricing in exponential L\'evy models," Papers 1502.03359, arXiv.org, revised Feb 2015.

  10. Chris Brooks & A.Cerny & J. Miffre, 2006. "Optimal Hedging with Higher Moments," ICMA Centre Discussion Papers in Finance icma-dp2006-12, Henley Business School, University of Reading.

    Cited by:

    1. Yang (Greg) Hou & Mark Holmes, 2020. "Do higher order moments of return distribution provide better decisions in minimum-variance hedging? Evidence from US stock index futures," Australian Journal of Management, Australian School of Business, vol. 45(2), pages 240-265, May.
    2. Siroos Khademalomoom & Paresh Kumar Narayan & Susan Sunila Sharma, 2019. "Higher Moments and Exchange Rate Behavior," The Financial Review, Eastern Finance Association, vol. 54(1), pages 201-229, February.
    3. Jim Hanly, 2017. "Managing Energy Price Risk using Futures Contracts: A Comparative Analysis," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).
    4. Brian Lucey & Britta Berghöfer, 2013. "Fuel Hedging, Operational Hedging and Risk Exposure– Evidence from the Global Airline Industry," The Institute for International Integration Studies Discussion Paper Series iiisdp433, IIIS.
    5. Stutzer, Michael, 2013. "Optimal hedging via large deviation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(15), pages 3177-3182.
    6. Jules Sadefo-Kamdem & Zoulkiflou Moumouni, 2020. "Comparison of Some Static Hedging Models of Agricultural Commodities Price Uncertainty," Post-Print hal-02920323, HAL.
    7. John Cotter & Jim Hanly, 2014. "Performance of Utility Based Hedges," Working Papers 201404, Geary Institute, University College Dublin.
    8. Corbet, Shaen & Hou, Yang (Greg) & Hu, Yang & Oxley, Les, 2022. "The influence of the COVID-19 pandemic on the hedging functionality of Chinese financial markets," Research in International Business and Finance, Elsevier, vol. 59(C).
    9. Vedenov, Dmitry & Power, Gabriel J., 2022. "We don't need no fancy hedges! Or do we?," International Review of Financial Analysis, Elsevier, vol. 81(C).
    10. Lawrence Kryzanowski & Jie Zhang & Rui Zhong, 2021. "Currency hedging and quantitative easing: Evidence from global bond markets," International Review of Finance, International Review of Finance Ltd., vol. 21(2), pages 555-597, June.
    11. Pan, Zhiyuan & Xiao, Dongli & Dong, Qingma & Liu, Li, 2022. "Structural breaks, macroeconomic fundamentals and cross hedge ratio," Finance Research Letters, Elsevier, vol. 47(PA).
    12. Hou, Yang & Holmes, Mark, 2017. "On the effects of static and autoregressive conditional higher order moments on dynamic optimal hedging," MPRA Paper 82000, University Library of Munich, Germany.
    13. Kim, Myeong Jun & Park, Sung Y., 2016. "Optimal conditional hedge ratio: A simple shrinkage estimation approach," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 139-156.
    14. Ana-Maria Fuertes & Joëlle Miffre & Wooi-Hou Tan, 2009. "Momentum profits, nonnormality risks and the business cycle," Applied Financial Economics, Taylor & Francis Journals, vol. 19(12), pages 935-953.
    15. Zoulkiflou Moumouni & Jules Sadefo-Kamdem, 2019. "New models of commodity risk hedging according to the behavior of economic decision-makers or Rollover Strategies," Working Papers hal-02417459, HAL.
    16. Jing-Yi Lai, 2012. "An empirical study of the impact of skewness and kurtosis on hedging decisions," Quantitative Finance, Taylor & Francis Journals, vol. 12(12), pages 1827-1837, December.
    17. Yan Hu & Jian Ni, 2024. "A deep learning‐based financial hedging approach for the effective management of commodity risks," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(6), pages 879-900, June.

  11. David Miles & Ales Cerny, 2001. "Risk, Return and Portfolio Allocation under Alternative Pension Arrangements with Imperfect Financial Markets," CESifo Working Paper Series 441, CESifo.

    Cited by:

    1. Patricia Apps & Ray Rees, 2002. "Fertility, Dependency and Social Security," Australian Journal of Labour Economics (AJLE), Bankwest Curtin Economics Centre (BCEC), Curtin Business School, vol. 5(4), pages 569-585, December.

Articles

  1. Halická, Margaréta & Trnovská, Mária & Černý, Aleš, 2024. "A unified approach to radial, hyperbolic, and directional efficiency measurement in data envelopment analysis," European Journal of Operational Research, Elsevier, vol. 312(1), pages 298-314.

    Cited by:

    1. Halická, Margaréta & Trnovská, Mária & Černý, Aleš, 2025. "On indication, strict monotonicity, and efficiency of projections in a general class of path-based data envelopment analysis models," European Journal of Operational Research, Elsevier, vol. 320(1), pages 175-187.

  2. Černý, Aleš & Ruf, Johannes, 2023. "Simplified calculus for semimartingales: Multiplicative compensators and changes of measure," Stochastic Processes and their Applications, Elsevier, vol. 161(C), pages 572-602.
    See citations under working paper version above.
  3. Černý, Aleš & Ruf, Johannes, 2021. "Simplified stochastic calculus with applications in Economics and Finance," European Journal of Operational Research, Elsevier, vol. 293(2), pages 547-560.
    See citations under working paper version above.
  4. Černý, Aleš & Melicherčík, Igor, 2020. "Simple explicit formula for near-optimal stochastic lifestyling," European Journal of Operational Research, Elsevier, vol. 284(2), pages 769-778.
    See citations under working paper version above.
  5. Aleš Černý, 2020. "Semimartingale theory of monotone mean–variance portfolio allocation," Mathematical Finance, Wiley Blackwell, vol. 30(3), pages 1168-1178, July.
    See citations under working paper version above.
  6. Sara Biagini & Aleš Černý, 2020. "Convex duality and Orlicz spaces in expected utility maximization," Mathematical Finance, Wiley Blackwell, vol. 30(1), pages 85-127, January.

    Cited by:

    1. Alev{s} v{C}ern'y, 2019. "Semimartingale theory of monotone mean--variance portfolio allocation," Papers 1903.06912, arXiv.org, revised Jan 2020.
    2. Černý, Aleš & Czichowsky, Christoph & Kallsen, Jan, 2021. "Numeraire-invariant quadratic hedging and mean–variance portfolio allocation," LSE Research Online Documents on Economics 112612, London School of Economics and Political Science, LSE Library.
    3. Alev{s} v{C}ern'y, 2020. "The Hansen ratio in mean--variance portfolio theory," Papers 2007.15980, arXiv.org.

  7. Brunovský, Pavol & Černý, Aleš & Komadel, Ján, 2018. "Optimal trade execution under endogenous pressure to liquidate: Theory and numerical solutions," European Journal of Operational Research, Elsevier, vol. 264(3), pages 1159-1171.
    See citations under working paper version above.
  8. Tsanakas, Andreas & Wüthrich, Mario V. & Černý, Aleš, 2013. "Market Value Margin Via Mean–Variance Hedging," ASTIN Bulletin, Cambridge University Press, vol. 43(3), pages 301-322, September.

    Cited by:

    1. Chen, Ze & Feng, Runhuan & Li, Hong & Yang, Tianyu, 2024. "Coping with longevity via hedging: Fair dynamic valuation of variable annuities," Insurance: Mathematics and Economics, Elsevier, vol. 117(C), pages 154-169.
    2. Engsner, Hampus & Lindskog, Filip & Thøgersen, Julie, 2023. "Multiple-prior valuation of cash flows subject to capital requirements," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 41-56.
    3. Chen, Ze & Chen, Bingzheng & Dhaene, Jan & Yang, Tianyu, 2021. "Fair dynamic valuation of insurance liabilities via convex hedging," Insurance: Mathematics and Economics, Elsevier, vol. 98(C), pages 1-13.
    4. van Bilsen, Servaas & Linders, Daniël, 2019. "Affordable and adequate annuities with stable payouts: Fantasy or reality?," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 19-42.
    5. Jan Dhaene & Ben Stassen & Karim Barigou & Daniël Linders & Ze Chen, 2017. "Fair valuation of insurance liabilities: Merging actuarial judgement and market-consistency," Working Papers Department of Accountancy, Finance and Insurance (AFI), Leuven 578281, KU Leuven, Faculty of Economics and Business (FEB), Department of Accountancy, Finance and Insurance (AFI), Leuven.
    6. Bauer, Daniel & Zanjani, George, 2021. "Economic capital and RAROC in a dynamic model," Journal of Banking & Finance, Elsevier, vol. 125(C).
    7. Hampus Engsner & Filip Lindskog & Julie Thoegersen, 2021. "Multiple-prior valuation of cash flows subject to capital requirements," Papers 2109.00306, arXiv.org.
    8. Engsner, Hampus & Lindholm, Mathias & Lindskog, Filip, 2017. "Insurance valuation: A computable multi-period cost-of-capital approach," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 250-264.
    9. Hampus Engsner & Kristoffer Lindensjö & Filip Lindskog, 2020. "The value of a liability cash flow in discrete time subject to capital requirements," Finance and Stochastics, Springer, vol. 24(1), pages 125-167, January.

  9. Černý, Aleš & Maccheroni, Fabio & Marinacci, Massimo & Rustichini, Aldo, 2012. "On the computation of optimal monotone mean–variance portfolios via truncated quadratic utility," Journal of Mathematical Economics, Elsevier, vol. 48(6), pages 386-395.
    See citations under working paper version above.
  10. Černý, Aleš & Miles, David & Schmidt, L'Ubomír, 2010. "The impact of changing demographics and pensions on the demand for housing and financial assets," Journal of Pension Economics and Finance, Cambridge University Press, vol. 9(3), pages 393-420, July.

    Cited by:

    1. Renata Korsakienė & Manuela Tvaronavičienė, 2014. "Processes of economic development: case of Lithuanian real estate sector," Entrepreneurship and Sustainability Issues, VsI Entrepreneurship and Sustainability Center, vol. 1(3), pages 162-172, March.
    2. Černý, Aleš & Melicherčík, Igor, 2020. "Simple explicit formula for near-optimal stochastic lifestyling," European Journal of Operational Research, Elsevier, vol. 284(2), pages 769-778.
    3. Wang, Haining & Cheng, Zhiming & Smyth, Russell & Sun, Gong & Li, Jie & Wang, Wangshuai, 2022. "University education, homeownership and housing wealth," China Economic Review, Elsevier, vol. 71(C).
    4. Torben Andersen & Mikkel Hermansen, 2014. "Durable consumption, saving and retirement," Journal of Population Economics, Springer;European Society for Population Economics, vol. 27(3), pages 825-840, July.
    5. Costello, Greg & Fraser, Patricia & Groenewold, Nicolaas, 2011. "House prices, non-fundamental components and interstate spillovers: The Australian experience," Journal of Banking & Finance, Elsevier, vol. 35(3), pages 653-669, March.
    6. Azegami Hideto, 2015. "Do the Over-the-Counter Sales at Banks Expand the Individual Annuity Market in Japan?," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 9(1), pages 47-76, January.
    7. Waldron, Matt & Zampolli, Fabrizio, 2010. "Household debt, house prices and consumption in the United Kingdom: a quantitative theoretical analysis," Bank of England working papers 379, Bank of England.

  11. Ales Cerny & Ioannis Kyriakou, 2010. "An improved convolution algorithm for discretely sampled Asian options," Quantitative Finance, Taylor & Francis Journals, vol. 11(3), pages 381-389.

    Cited by:

    1. Chueh-Yung Tsao & Chao-Ching Liu, 2012. "Asian Options with Credit Risks: Pricing and Sensitivity Analysis," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 48(S3), pages 96-115, September.
    2. Alghalith, Moawia, 2019. "The distribution of the average of log-normal variables and Exact Pricing of the Arithmetic Asian Options: A Simple, closed-form Formula," MPRA Paper 97324, University Library of Munich, Germany.

  12. Aleš Černý & Jan Kallsen, 2008. "Mean–Variance Hedging And Optimal Investment In Heston'S Model With Correlation," Mathematical Finance, Wiley Blackwell, vol. 18(3), pages 473-492, July.

    Cited by:

    1. Alev{s} v{C}ern'y & Christoph Czichowsky, 2022. "The law of one price in quadratic hedging and mean-variance portfolio selection," Papers 2210.15613, arXiv.org, revised Sep 2024.
    2. Ales Cerný & Fabio Maccheroni & Massimo Marinacci & Aldo Rustichini, 2008. "On the Computation of Optimal Monotone Mean-Variance Portfolios via Truncated Quadratic Utility," Carlo Alberto Notebooks 79, Collegio Carlo Alberto.
    3. Flavio ANGELINI & Stefano HERZEL, 2012. "Delta Hedging in Discrete Time under Stochastic Interest Rate," Quaderni del Dipartimento di Economia, Finanza e Statistica 110/2012, Università di Perugia, Dipartimento Economia.
    4. Marcos Escobar & Daniela Neykova & Rudi Zagst, 2014. "Portfolio Optimization in Affine Models with Markov Switching," Papers 1403.5247, arXiv.org.
    5. Aiqin Ma & Cuiyun Zhang & Yubing Wang, 2023. "Optimal Consumption and Investment Problem under 4/2-CIR Stochastic Hybrid Model," Mathematics, MDPI, vol. 11(17), pages 1-19, August.
    6. Dorival Le~ao & Alberto Ohashi & Vinicius Siqueira, 2013. "A general Multidimensional Monte Carlo Approach for Dynamic Hedging under stochastic volatility," Papers 1308.1704, arXiv.org, revised Aug 2013.
    7. Yang Shen, 2020. "Effect of Variance Swap in Hedging Volatility Risk," Risks, MDPI, vol. 8(3), pages 1-34, July.
    8. Guohui Guan & Zongxia Liang & Yi Xia, 2024. "Many-insurer robust games of reinsurance and investment under model uncertainty in incomplete markets," Papers 2412.09157, arXiv.org.
    9. Aleš Černý & Jan Kallsen, 2008. "A Counterexample Concerning The Variance‐Optimal Martingale Measure," Mathematical Finance, Wiley Blackwell, vol. 18(2), pages 305-316, April.
    10. Alev{s} v{C}ern'y & Jan Kallsen, 2007. "On the Structure of General Mean-Variance Hedging Strategies," Papers 0708.1715, arXiv.org, revised Jul 2017.
    11. Liao Wang & Johannes Wissel, 2013. "Mean-variance hedging with oil futures," Finance and Stochastics, Springer, vol. 17(4), pages 641-683, October.
    12. Chiu, Mei Choi & Wong, Hoi Ying, 2014. "Mean–variance asset–liability management with asset correlation risk and insurance liabilities," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 300-310.
    13. Jan Kallsen & Arnd Pauwels, 2011. "Variance-Optimal Hedging for Time-Changed Levy Processes," Applied Mathematical Finance, Taylor & Francis Journals, vol. 18(1), pages 1-28.
    14. Wanyang Dai, 2014. "Mean-variance hedging based on an incomplete market with external risk factors of non-Gaussian OU processes," Papers 1410.0991, arXiv.org, revised Aug 2015.

  13. Aleš Černý & Jan Kallsen, 2008. "A Counterexample Concerning The Variance‐Optimal Martingale Measure," Mathematical Finance, Wiley Blackwell, vol. 18(2), pages 305-316, April.

    Cited by:

    1. Küchler Uwe & Tappe Stefan, 2009. "Option pricing in bilateral Gamma stock models," Statistics & Risk Modeling, De Gruyter, vol. 27(4), pages 281-307, December.
    2. Badescu, Alexandru & Elliott, Robert J. & Ortega, Juan-Pablo, 2014. "Quadratic hedging schemes for non-Gaussian GARCH models," Journal of Economic Dynamics and Control, Elsevier, vol. 42(C), pages 13-32.
    3. Uwe Kuchler & Stefan Tappe, 2019. "Option pricing in bilateral Gamma stock models," Papers 1907.09862, arXiv.org.
    4. Alexandru Badescu & Robert J. Elliott & Juan-Pablo Ortega, 2012. "Quadratic hedging schemes for non-Gaussian GARCH models," Papers 1209.5976, arXiv.org, revised Dec 2013.
    5. Aleš Černý & Jan Kallsen, 2008. "Mean–Variance Hedging And Optimal Investment In Heston'S Model With Correlation," Mathematical Finance, Wiley Blackwell, vol. 18(3), pages 473-492, July.

  14. Aleš Černý, 2007. "Optimal Continuous‐Time Hedging With Leptokurtic Returns," Mathematical Finance, Wiley Blackwell, vol. 17(2), pages 175-203, April.

    Cited by:

    1. Jan Kallsen & Johannes Muhle-Karbe & Richard Vierthauer, 2009. "Asymptotic Power Utility-Based Pricing and Hedging," Papers 0912.3362, arXiv.org, revised Jan 2013.
    2. Flavio ANGELINI & Stefano HERZEL, 2012. "Delta Hedging in Discrete Time under Stochastic Interest Rate," Quaderni del Dipartimento di Economia, Finanza e Statistica 110/2012, Università di Perugia, Dipartimento Economia.
    3. St'ephane Goutte & Nadia Oudjane & Francesco Russo, 2012. "Variance Optimal Hedging for discrete time processes with independent increments. Application to Electricity Markets," Papers 1205.4089, arXiv.org.

  15. David Miles & Ales Cerny, 2006. "Risk, Return and Portfolio Allocation under Alternative Pension Systems with Incomplete and Imperfect Financial Markets," Economic Journal, Royal Economic Society, vol. 116(511), pages 529-557, April.

    Cited by:

    1. Yvonne Adema, 2010. "Pensions, Debt and Inflation Risk in a Monetary Union," Tinbergen Institute Discussion Papers 10-109/2, Tinbergen Institute.
    2. Jean-Pierre Laffargue, 2009. "Intergenerational Transfers and the Stability of Public Debt with Short-Lived Governments," Mathematical Population Studies, Taylor & Francis Journals, vol. 16(1), pages 79-104.
    3. Pammolli, Fabio & Riccaboni, Massimo & Oglialoro, Claudia & Magazzini, Laura & Baio, Gianluca & Salerno, Nicola, 2005. "Medical Devices Competitiveness and Impact on Public Health Expenditure," MPRA Paper 16021, University Library of Munich, Germany.
    4. Beetsma, Roel M.W.J. & Bovenberg, A. Lans & Romp, Ward E., 2011. "Funded pensions and intergenerational and international risk sharing in general equilibrium," Journal of International Money and Finance, Elsevier, vol. 30(7), pages 1516-1534.
    5. Uryszek Tomasz, 2015. "Long-term Sustainability Of Public Finance In The Central And Eastern EU Member States / Długoterminowe Zrównoważenie Finansów Publicznych w Krajach Europy Środkowej i Wschodniej Należących Do Ue," Comparative Economic Research, Sciendo, vol. 18(4), pages 47-61, December.
    6. Barrett, Alan & Kearney, Ide & O'Brien, Martin, 2007. "Quarterly Economic Commentary, Summer 2007," Forecasting Report, Economic and Social Research Institute (ESRI), number QEC20072, march.
    7. Martin Stepanek, 2022. "Sectoral Impacts of International Labour Migration and Population Ageing in the Czech Republic," Computational Economics, Springer;Society for Computational Economics, vol. 60(2), pages 375-400, August.
    8. Jean-Pierre Laffargue, 2005. "Demographic transition, intergenerational transfers and the increase in public and national debts," PSE Working Papers halshs-00590826, HAL.
    9. Jean-Pierre Laffargue, 2005. "Demographic transition, intergenerational transfers and the increase in public and national debts," Working Papers halshs-00590826, HAL.
    10. Jean-Pierre Laffargue, 2009. "Intergenerational transfers and the stability of public debt with short-lived governments," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00270503, HAL.
    11. Whelan, Shane, 2007. "Valuing Ireland's Pension System," Quarterly Economic Commentary: Special Articles, Economic and Social Research Institute (ESRI), vol. 2007(2-Summer), pages 55-80.
    12. Roel M. W. J. Beetsma & A. Lans Bovenberg, 2009. "Pensions and Intergenerational Risk‐sharing in General Equilibrium," Economica, London School of Economics and Political Science, vol. 76(302), pages 364-386, April.
    13. Laffargue, Jean-Pierre, 2005. "Demographic transition, intergenerational transfers and the increase in public and national debts," CEPREMAP Working Papers (Docweb) 0509, CEPREMAP.
    14. Jean-Pierre Laffargue, 2009. "Intergenerational transfers and the stability of public debt with short-lived governments," Post-Print halshs-00270503, HAL.
    15. Černý, Aleš & Miles, David & Schmidt, L'Ubomír, 2010. "The impact of changing demographics and pensions on the demand for housing and financial assets," Journal of Pension Economics and Finance, Cambridge University Press, vol. 9(3), pages 393-420, July.
    16. Sánchez Martín, A. & Jiménez Martín, S. & Robalino, D. & Todeschini, F., 2012. "Labor Income and the Design of Default Portfolios in Mandatory Pension Systems: An Application to Chile," Working Papers 2012-04, FEDEA.

  16. Ales Cerny, 2004. "Dynamic programming and mean-variance hedging in discrete time," Applied Mathematical Finance, Taylor & Francis Journals, vol. 11(1), pages 1-25.

    Cited by:

    1. Aleš Černý, 2007. "Optimal Continuous‐Time Hedging With Leptokurtic Returns," Mathematical Finance, Wiley Blackwell, vol. 17(2), pages 175-203, April.
    2. Koichi Matsumoto, 2009. "Mean-Variance Hedging with Uncertain Trade Execution," Applied Mathematical Finance, Taylor & Francis Journals, vol. 16(3), pages 219-252.
    3. St'ephane Goutte & Nadia Oudjane & Francesco Russo, 2012. "Variance Optimal Hedging for discrete time processes with independent increments. Application to Electricity Markets," Papers 1205.4089, arXiv.org.
    4. Koichi Matsumoto & Keita Shimizu, 2020. "Hedging Derivatives on Two Assets with Model Risk," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(1), pages 83-95, March.
    5. Augustyniak, Maciej & Godin, Frédéric & Simard, Clarence, 2019. "A profitable modification to global quadratic hedging," Journal of Economic Dynamics and Control, Elsevier, vol. 104(C), pages 111-131.
    6. Jan Kallsen & Arnd Pauwels, 2011. "Variance-Optimal Hedging for Time-Changed Levy Processes," Applied Mathematical Finance, Taylor & Francis Journals, vol. 18(1), pages 1-28.

  17. Aleš Černý, 2003. "Generalised Sharpe Ratios and Asset Pricing in Incomplete Markets," Review of Finance, European Finance Association, vol. 7(2), pages 191-233.

    Cited by:

    1. Massimiliano Caporin & Michele Costola & Gregory Mathieu Jannin & Bertrand Maillet, 2016. "On the (Ab)Use of Omega?," Working Papers hal-01697640, HAL.
    2. Fabio Maccheroni & Massimo Marinacci & Aldo Rustichini & Marco Taboga, 2008. "Portfolio Selection with Monotone Mean-Variance Preferences," Temi di discussione (Economic working papers) 664, Bank of Italy, Economic Research and International Relations Area.
    3. Alev{s} v{C}ern'y, 2019. "Semimartingale theory of monotone mean--variance portfolio allocation," Papers 1903.06912, arXiv.org, revised Jan 2020.
    4. Andreas Tsanakas & Evangelia Desli, 2005. "Measurement and Pricing of Risk in Insurance Markets," Risk Analysis, John Wiley & Sons, vol. 25(6), pages 1653-1668, December.
    5. Daniel Bauer & George Zanjani, 2016. "The Marginal Cost of Risk, Risk Measures, and Capital Allocation," Management Science, INFORMS, vol. 62(5), pages 1431-1457, May.
    6. André de Palma & Jean-Luc Prigent, 2009. "Standardized versus customized portfolio: a compensating variation approach," Post-Print hal-03679717, HAL.
    7. Hirbod Assa & Keivan Mallahi Karai, 2013. "Hedging, Pareto Optimality, and Good Deals," Journal of Optimization Theory and Applications, Springer, vol. 157(3), pages 900-917, June.
    8. Almeida, Caio & Freire, Gustavo, 2022. "Pricing of index options in incomplete markets," Journal of Financial Economics, Elsevier, vol. 144(1), pages 174-205.
    9. Mario Cerrato & John Crosby & Muhammad Kaleem, 2011. "Measuring the economic significance of structural exchange rate models," Working Papers 2011_17, Business School - Economics, University of Glasgow.
    10. Dirk Becherer & Klebert Kentia, 2017. "Hedging under generalized good-deal bounds and model uncertainty," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 86(1), pages 171-214, August.
    11. Michele Costola & Massimiliano Caporin, 2016. "Rational Learning For Risk-Averse Investors By Conditioning On Behavioral Choices," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 11(01), pages 1-26, March.
    12. Leal, Laura Simonsen & Almeida, Caio, 2017. "An SDF Approach to Hedge Funds' Tail Risk:Evidence from Brazilian Funds," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 37(1), May.
    13. Nina Boyarchenko & Mario Cerrato & John Crosby & Stewart Hodges, 2012. "No good deals—no bad models," Staff Reports 589, Federal Reserve Bank of New York.
    14. Maria Arduca & Cosimo Munari, 2020. "Fundamental theorem of asset pricing with acceptable risk in markets with frictions," Papers 2012.08351, arXiv.org, revised Apr 2022.
    15. Takuji Arai, 2016. "Good deal bounds with convex constraints: --- examples and proofs ---," Keio-IES Discussion Paper Series 2016-017, Institute for Economics Studies, Keio University.
    16. Klöppel Susanne & Schweizer Martin, 2007. "Dynamic utility-based good deal bounds," Statistics & Risk Modeling, De Gruyter, vol. 25(4), pages 285-309, October.
    17. Sascha Desmettre & Christian Laudagé & Jörn Sass, 2020. "Good-Deal Bounds for Option Prices under Value-at-Risk and Expected Shortfall Constraints," Risks, MDPI, vol. 8(4), pages 1-22, October.
    18. Hirbod Assa, 2015. "Trade-off Between Robust Risk Measurement and Market Principles," Journal of Optimization Theory and Applications, Springer, vol. 166(1), pages 306-320, July.
    19. Kassimatis, Konstantinos, 2021. "Mean-variance versus utility maximization revisited: The case of constant relative risk aversion," International Review of Financial Analysis, Elsevier, vol. 78(C).
    20. Maria Arduca & Cosimo Munari, 2023. "Fundamental theorem of asset pricing with acceptable risk in markets with frictions," Finance and Stochastics, Springer, vol. 27(3), pages 831-862, July.
    21. Biagini, Sara & Bion-Nadal, Jocelyne, 2014. "Dynamic quasi concave performance measures," Journal of Mathematical Economics, Elsevier, vol. 55(C), pages 143-153.
    22. PInar, Mustafa Ç. & Salih, AslIhan & CamcI, Ahmet, 2010. "Expected gain-loss pricing and hedging of contingent claims in incomplete markets by linear programming," European Journal of Operational Research, Elsevier, vol. 201(3), pages 770-785, March.
    23. Dirk Becherer & Klebert Kentia, 2016. "Hedging under generalized good-deal bounds and model uncertainty," Papers 1607.04488, arXiv.org, revised Apr 2017.

Chapters

  1. David Miles & Ales Cerny, 2004. "Alternative pension reform strategies for Japan," Chapters, in: Toshiaki Tachibanaki (ed.), The Economics of Social Security in Japan, chapter 4, Edward Elgar Publishing.

    Cited by:

    1. Robert Dekle, 2004. "Financing Consumption in an Aging Japan: The Role of Foreign Capital Inflows in Immigration," NBER Working Papers 10781, National Bureau of Economic Research, Inc.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 7 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-RMG: Risk Management (4) 2019-03-25 2020-08-10 2021-10-25 2021-11-29
  2. NEP-UPT: Utility Models and Prospect Theory (2) 2008-11-11 2009-10-24
  3. NEP-MST: Market Microstructure (1) 2017-07-30
  4. NEP-ORE: Operations Research (1) 2021-11-29

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Ales Cerny should log into the RePEc Author Service.

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.