Discrete time risk sensitive portfolio optimization with consumption and proportional transaction costs

DOI10.4064/am32-4-3zbMath1138.91482OpenAlexW1982340720MaRDI QIDQ5469351

Łukasz Stettner

Publication date: 18 May 2006

Published in: Applicationes Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4064/am32-4-3

zbMATH Keywords

Bellman equationoptimal portfoliorisk sensitive controldiscrete time Markov processeswealth process

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Portfolio theory (91G10)

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