no code implementations • 31 Jul 2020 • Aleš Černý
It is shown that the ratio between the mean and the $L^2$-norm leads to a particularly parsimonious description of the mean-variance efficient frontier and the dual pricing kernel restrictions known as the Hansen-Jagannathan (HJ) bounds.
no code implementations • 8 Dec 2019 • Aleš Černý, Johannes Ruf
The paper introduces a simple way of recording and manipulating general stochastic processes without explicit reference to a probability measure.
no code implementations • 16 Mar 2019 • Aleš Černý
We study dynamic optimal portfolio allocation for monotone mean--variance preferences in a general semimartingale model.
no code implementations • 3 Jan 2018 • Aleš Černý, Igor Melicherčík
In life-cycle economics the Samuelson paradigm (Samuelson, 1969) states that the optimal investment is in constant proportions out of lifetime wealth composed of current savings and the present value of future income.
