Risk sensitive portfolio optimization

被引：31
|
作者：
Stettner, L
机构：
[1] Polish Acad Sci, Inst Math, PL-00950 Warsaw, Poland
[2] Warsaw Sch Management & Mkt, Warsaw, Poland
来源：
MATHEMATICAL METHODS OF OPERATIONS RESEARCH | 1999年 / 50卷 / 03期
关键词：
risk sensitive stochastic control; portfolio selection; Bellman equation; transaction costs;
D O I：
10.1007/s001860050081
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
In the paper discrete time portfolio selection with maximization of the risk sensitized growth rate with and without transaction costs is considered.
引用
收藏
页码：463 / 474
页数：12
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