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Long run risk sensitive portfolio with general factors
Journal
Mathematical Methods of Operations Research
25
Author
Pitera Marcin
Stettner Łukasz
Volume
83
Issue
2
Pages
265-293
ISSN
1432-2994
eISSN
1432-5217
Keywords in English
risk sensitive portfolio
risk sensitive criterion
Bellman equation
weighted span norm
Language
English
Container language
English
Abstract in English
In the paper portfolio optimization over long run risk sensitive criterion is considered. It is assumed that economic factors which stimulate asset prices are ergodic but non necessarily uniformly ergodic. Solution to suitable Bellman equation using local span contraction with weighted norms is shown. The form of optimal strategy is presented and examples of market models satisfying imposed assumptions are shown.
Affiliation
Wydział Matematyki i Informatyki : Instytut Matematyki
Scopus© citations
15
cris.lastimport.scopus | 2024-04-07T13:32:59Z | |
dc.abstract.en | In the paper portfolio optimization over long run risk sensitive criterion is considered. It is assumed that economic factors which stimulate asset prices are ergodic but non necessarily uniformly ergodic. Solution to suitable Bellman equation using local span contraction with weighted norms is shown. The form of optimal strategy is presented and examples of market models satisfying imposed assumptions are shown. | pl |
dc.affiliation | Wydział Matematyki i Informatyki : Instytut Matematyki | pl |
dc.contributor.author | Pitera, Marcin - 107421 | pl |
dc.contributor.author | Stettner, Łukasz | pl |
dc.date.accessioned | 2016-05-06T07:37:15Z | |
dc.date.available | 2016-05-06T07:37:15Z | |
dc.date.issued | 2016 | pl |
dc.date.openaccess | 0 | |
dc.description.accesstime | w momencie opublikowania | |
dc.description.number | 2 | pl |
dc.description.physical | 265-293 | pl |
dc.description.version | ostateczna wersja wydawcy | |
dc.description.volume | 83 | pl |
dc.identifier.doi | 10.1007/s00186-015-0528-7 | pl |
dc.identifier.eissn | 1432-5217 | pl |
dc.identifier.issn | 1432-2994 | pl |
dc.identifier.uri | http://ruj.uj.edu.pl/xmlui/handle/item/25020 | |
dc.language | eng | pl |
dc.language.container | eng | pl |
dc.rights | Udzielam licencji. Uznanie autorstwa 3.0 Polska | * |
dc.rights.licence | CC-BY | |
dc.rights.uri | http://creativecommons.org/licenses/by/3.0/pl/legalcode | * |
dc.share.type | inne | |
dc.subject.en | risk sensitive portfolio | pl |
dc.subject.en | risk sensitive criterion | pl |
dc.subject.en | Bellman equation | pl |
dc.subject.en | weighted span norm | pl |
dc.subtype | Article | pl |
dc.title | Long run risk sensitive portfolio with general factors | pl |
dc.title.journal | Mathematical Methods of Operations Research | pl |
dc.type | JournalArticle | pl |
dspace.entity.type | Publication |
Affiliations
Wydział Matematyki i Informatyki
Pitera, Marcin
No affiliation
Stettner, Łukasz