Discrete-time risk sensitive portfolio optimization with proportional transaction costs
Marcin Pitera, Łukasz Stettner
| Year of publication: |
2023
|
|---|---|
| Authors: | Pitera, Marcin ; Stettner, Łukasz |
| Subject: | Bellman equation | long time horizon | portfolio optimization | risk sensitive control | risk sensitive criterion | risk sensitive portfolio | transaction costs | Portfolio-Management | Portfolio selection | Transaktionskosten | Transaction costs | Theorie | Theory | Risiko | Risk | Dynamische Optimierung | Dynamic programming |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/mafi.12406 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014370659