Discrete time infinite horizon risk sensitive portfolio selection with proportional transaction costs

Łukasz Stettner. "Discrete time infinite horizon risk sensitive portfolio selection with proportional transaction costs." Banach Center Publications 83.1 (2008): 231-241. <http://eudml.org/doc/281809>.

@article{ŁukaszStettner2008,
abstract = {Long run risk sensitive portfolio selection is considered with proportional transaction costs. In the paper two methods to prove existence of solutions to suitable Bellman equations are presented. The first method is based on discounted cost approximation and requires uniform absolute continuity of iterations of transition operators of the factor process. The second method is based on uniform ergodicity of portions of the capital invested in assets and requires additional assumptions concerning diversity of investments.},
author = {Łukasz Stettner},
journal = {Banach Center Publications},
keywords = {risk sensitive control; portfolio selection; proportional transaction costs; infinite horizon},
language = {eng},
number = {1},
pages = {231-241},
title = {Discrete time infinite horizon risk sensitive portfolio selection with proportional transaction costs},
url = {http://eudml.org/doc/281809},
volume = {83},
year = {2008},
}

TY - JOUR
AU - Łukasz Stettner
TI - Discrete time infinite horizon risk sensitive portfolio selection with proportional transaction costs
JO - Banach Center Publications
PY - 2008
VL - 83
IS - 1
SP - 231
EP - 241
AB - Long run risk sensitive portfolio selection is considered with proportional transaction costs. In the paper two methods to prove existence of solutions to suitable Bellman equations are presented. The first method is based on discounted cost approximation and requires uniform absolute continuity of iterations of transition operators of the factor process. The second method is based on uniform ergodicity of portions of the capital invested in assets and requires additional assumptions concerning diversity of investments.
LA - eng
KW - risk sensitive control; portfolio selection; proportional transaction costs; infinite horizon
UR - http://eudml.org/doc/281809
ER -