Long run risk sensitive portfolio with general factors

2016
journal article
article
15
cris.lastimport.scopus2024-04-07T13:32:59Z
dc.abstract.enIn 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.affiliationWydział Matematyki i Informatyki : Instytut Matematykipl
dc.contributor.authorPitera, Marcin - 107421 pl
dc.contributor.authorStettner, Łukaszpl
dc.date.accessioned2016-05-06T07:37:15Z
dc.date.available2016-05-06T07:37:15Z
dc.date.issued2016pl
dc.date.openaccess0
dc.description.accesstimew momencie opublikowania
dc.description.number2pl
dc.description.physical265-293pl
dc.description.versionostateczna wersja wydawcy
dc.description.volume83pl
dc.identifier.doi10.1007/s00186-015-0528-7pl
dc.identifier.eissn1432-5217pl
dc.identifier.issn1432-2994pl
dc.identifier.urihttp://ruj.uj.edu.pl/xmlui/handle/item/25020
dc.languageengpl
dc.language.containerengpl
dc.rightsUdzielam licencji. Uznanie autorstwa 3.0 Polska*
dc.rights.licenceCC-BY
dc.rights.urihttp://creativecommons.org/licenses/by/3.0/pl/legalcode*
dc.share.typeinne
dc.subject.enrisk sensitive portfoliopl
dc.subject.enrisk sensitive criterionpl
dc.subject.enBellman equationpl
dc.subject.enweighted span normpl
dc.subtypeArticlepl
dc.titleLong run risk sensitive portfolio with general factorspl
dc.title.journalMathematical Methods of Operations Researchpl
dc.typeJournalArticlepl
dspace.entity.typePublication
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