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

Banach Center Publications (2008)

- Volume: 83, Issue: 1, page 231-241
- ISSN: 0137-6934

## Access Full Article

top## Abstract

top## How to cite

topŁukasz 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 -

## NotesEmbed ?

topTo embed these notes on your page include the following JavaScript code on your page where you want the notes to appear.