IDEAS home Printed from https://ideas.repec.org/a/spr/mathme/v50y1999i3p463-474.html
   My bibliography  Save this article

Risk sensitive portfolio optimization

Author

Listed:
  • Lukasz Stettner

Abstract

In the paper discrete time portfolio selection with maximization of the risk sensitized growth rate with and without transaction costs is considered. Copyright Springer-Verlag Berlin Heidelberg 1999

Suggested Citation

  • Lukasz Stettner, 1999. "Risk sensitive portfolio optimization," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 50(3), pages 463-474, December.
    • Handle: RePEc:spr:mathme:v:50:y:1999:i:3:p:463-474
    DOI: 10.1007/s001860050081
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/s001860050081
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1007/s001860050081?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Rubén Blancas-Rivera & Rolando Cavazos-Cadena & Hugo Cruz-Suárez, 2020. "Discounted approximations in risk-sensitive average Markov cost chains with finite state space," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 91(2), pages 241-268, April.
    2. Celikyurt, U. & Ozekici, S., 2007. "Multiperiod portfolio optimization models in stochastic markets using the mean-variance approach," European Journal of Operational Research, Elsevier, vol. 179(1), pages 186-202, May.
    3. Julio Saucedo-Zul & Rolando Cavazos-Cadena & Hugo Cruz-Suárez, 2020. "A Discounted Approach in Communicating Average Markov Decision Chains Under Risk-Aversion," Journal of Optimization Theory and Applications, Springer, vol. 187(2), pages 585-606, November.
    4. Marcin Pitera & {L}ukasz Stettner, 2015. "Long run risk sensitive portfolio with general factors," Papers 1508.05460, arXiv.org.
    5. Çanakoglu, Ethem & Özekici, Süleyman, 2010. "Portfolio selection in stochastic markets with HARA utility functions," European Journal of Operational Research, Elsevier, vol. 201(2), pages 520-536, March.
    6. Gustavo Portillo-Ramírez & Rolando Cavazos-Cadena & Hugo Cruz-Suárez, 2023. "Contractive approximations in average Markov decision chains driven by a risk-seeking controller," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 98(1), pages 75-91, August.
    7. Anna Ja'skiewicz, 2007. "Average optimality for risk-sensitive control with general state space," Papers 0704.0394, arXiv.org.
    8. U. Çakmak & S. Özekici, 2006. "Portfolio optimization in stochastic markets," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 63(1), pages 151-168, February.
    9. Rolando Cavazos-Cadena, 2018. "Characterization of the Optimal Risk-Sensitive Average Cost in Denumerable Markov Decision Chains," Mathematics of Operations Research, INFORMS, vol. 43(3), pages 1025-1050, August.
    10. Ethem Çanakoğlu & Süleyman Özekici, 2009. "Portfolio selection in stochastic markets with exponential utility functions," Annals of Operations Research, Springer, vol. 166(1), pages 281-297, February.
    11. Marcin Pitera & Łukasz Stettner, 2016. "Long run risk sensitive portfolio with general factors," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 83(2), pages 265-293, April.
    12. Carlos Camilo-Garay & Rolando Cavazos-Cadena & Hugo Cruz-Suárez, 2022. "Contractive Approximations in Risk-Sensitive Average Semi-Markov Decision Chains on a Finite State Space," Journal of Optimization Theory and Applications, Springer, vol. 192(1), pages 271-291, January.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:mathme:v:50:y:1999:i:3:p:463-474. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.