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

Łukasz Stettner

Displaying similar documents to “Discrete time infinite horizon risk sensitive portfolio selection with proportional transaction costs”

Discrete time risk sensitive portfolio optimization with consumption and proportional transaction costs

Łukasz Stettner (2005)

Applicationes Mathematicae

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Risk sensitive and risk neutral long run portfolio problems with consumption and proportional transaction costs are studied. Existence of solutions to suitable Bellman equations is shown. The asymptotics of the risk sensitive cost when the risk factor converges to 0 is then considered. It turns out that optimal strategies are stationary functions of the portfolio (portions of the wealth invested in assets) and of economic factors. Furthermore an optimal portfolio strategy for a risk...

Subprime risk and insurance with regret.

Petersen, M.A., Mukuddem-Petersen, J., Mulaudzi, M.P., De Waal, B., Schoeman, I.M. (2010)

Discrete Dynamics in Nature and Society

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Discrete analysis of portfolio selection with optimal stopping time.

Liang, Jianfeng (2009)

Journal of Applied Mathematics and Decision Sciences

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Maximizing banking profit on a random time interval.

Mukuddem-Petersen, J., Petersen, M.A., Schoeman, I.M., Tau, B.A. (2007)

Journal of Applied Mathematics

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Financial Claims and Product Market Competition: an Explanation for Permitting Banks to Hold Equity in Firms

Shin-Heng Pao, Jyh-Horng Lin (2008)

The Yugoslav Journal of Operations Research

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Two hedging points policy for an unreliable manufacturing system

Ryszarda Rempała (2002)

Applicationes Mathematicae

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This paper deals with an unreliable manufacturing system in which limited backlog is allowed. An admissible production policy is described by two decision parameters: upper and lower hedging points. The objective is to find the optimum hedging points so as to minimize the long run average expected cost under an additional condition. The condition expresses a constraint for the limiting probability of the event that the system stays at the lower hedging point, which corresponds to a limit...