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

• Autorzy: Łukasz Stettner
• Języki publikacji: EN

Abstrakty

EN

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.

Kategorie tematyczne

• 93E20: Optimal stochastic control
• 91B30: Risk theory, insurance

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Banach Center Publications
• Rocznik: 2008
• Tom: 83
• Numer: 1
• Strony: 231-241

Daty

wydano

2008

Twórcy

autor

Łukasz Stettner

• Institute of Mathematics, Polish Academy of Sciences, Śniadeckich 8, 00-956 Warszawa, Poland
• Academy of Finance, Warszawa, Poland

Identyfikatory

DOI

10.4064/bc83-0-14