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Discrete-time risk sensitive portfolio optimization with proportional transaction costs
Pitera, Marcin; Stettner, Łukasz - In: Mathematical finance : an international journal of … 33 (2023) 4, pp. 1287-1313
Persistent link: https://www.econbiz.de/10014370659
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On the existence of optimal portfolios for the utility maximization problem in discrete time financial market models
Rásonyi, Miklós; Stettner, Łukasz - In: From stochastic calculus to mathematical finance : the …, (pp. 589-608). 2006
Persistent link: https://www.econbiz.de/10003287180
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A note on optimal expected utility of dividend payments with proportional reinsurance
Liang, Xiaoqing; Palmowski, Zbigniew - In: Scandinavian actuarial journal (2018) 4, pp. 275-293
Persistent link: https://www.econbiz.de/10011881090
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An application of dynamic programming to assign pressing tanks at wineries
Palmowski, Zbigniew; Sidorowicz, Aleksandra - In: European journal of operational research : EJOR 287 (2020) 1, pp. 293-305
Persistent link: https://www.econbiz.de/10012293795