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Long run risk sensitive portfolio with general factors

2016
journal article
article
10.1007/s00186-015-0528-7
Journal
Mathematical Methods of Operations Research
25
Author
Pitera Marcin

Stettner Łukasz
Volume
83
Number
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
Journal 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
17
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
dc.abstract.enpl
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.
dc.affiliationpl
Wydział Matematyki i Informatyki : Instytut Matematyki
dc.contributor.authorpl
Pitera, Marcin - 107421
dc.contributor.authorpl
Stettner, Łukasz
dc.date.accessioned
2016-05-06T07:37:15Z
dc.date.available
2016-05-06T07:37:15Z
dc.date.issuedpl
2016
dc.date.openaccess
0
dc.description.accesstime
w momencie opublikowania
dc.description.numberpl
2
dc.description.physicalpl
265-293
dc.description.version
ostateczna wersja wydawcy
dc.description.volumepl
83
dc.identifier.doipl
10.1007/s00186-015-0528-7
dc.identifier.eissnpl
1432-5217
dc.identifier.issnpl
1432-2994
dc.identifier.uri
http://ruj.uj.edu.pl/xmlui/handle/item/25020
dc.languagepl
eng
dc.language.containerpl
eng
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.enpl
risk sensitive portfolio
dc.subject.enpl
risk sensitive criterion
dc.subject.enpl
Bellman equation
dc.subject.enpl
weighted span norm
dc.subtypepl
Article
dc.titlepl
Long run risk sensitive portfolio with general factors
dc.title.journalpl
Mathematical Methods of Operations Research
dc.typepl
JournalArticle
dspace.entity.type
Publication
Affiliations
Wydział Matematyki i Informatyki
Pitera, Marcin
No affiliation
Stettner, Łukasz

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Except as otherwise noted, this item is licensed under : Udzielam licencji. Uznanie autorstwa 3.0 Polska

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