Risk sensitive portfolio optimization

Lukasz Stettner

Mathematical Methods of Operations Research, 1999, vol. 50, issue 3, 463-474

Abstract: In the paper discrete time portfolio selection with maximization of the risk sensitized growth rate with and without transaction costs is considered. Copyright Springer-Verlag Berlin Heidelberg 1999

Keywords: Key words: Risk sensitive stochastic control; portfolio selection; Bellman equation; transaction costs (search for similar items in EconPapers)
Date: 1999
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Persistent link: https://EconPapers.repec.org/RePEc:spr:mathme:v:50:y:1999:i:3:p:463-474

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DOI: 10.1007/s001860050081

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