Discrete‐time risk sensitive portfolio optimization with proportional transaction costs

DOI10.1111/mafi.12406arXiv2201.02828OpenAlexW4379742034MaRDI QIDQ6146693

Marcin Pitera, Łukasz Stettner

Publication date: 31 January 2024

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2201.02828

zbMATH Keywords

Bellman equationportfolio optimizationtransaction costsrisk sensitive controlrisk sensitive criterionrisk sensitive portfoliolong time horizon

Mathematics Subject Classification ID

Portfolio theory (91G10)

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