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Risk sensitive portfolio optimization

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Abstract.

In the paper discrete time portfolio selection with maximization of the risk sensitized growth rate with and without transaction costs is considered.

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Authors and Affiliations

  1. Institute of Mathematics, Polish Academy of Sciences, Sniadeckich 8, 00-950 Warsaw, Poland (e-mail: stettner@impan.gov.pl), , , , , , PL

    Lukasz Stettner

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  1. Lukasz Stettner
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Manuscript received: April 1999/final version received: August 1999

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Stettner, L. Risk sensitive portfolio optimization. Mathematical Methods of OR 50, 463–474 (1999). https://doi.org/10.1007/s001860050081

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  • DOI: https://doi.org/10.1007/s001860050081

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