Concepedia

Łukasz Stettner

ŁS

6

Publications

239

Citations

6

H-Index

1998

Active since

Affiliations

Polish Academy of Sciences(Current)

Institute of Mathematics

Łukasz Stettner is an author at Polish Academy of Sciences specializing in finance, risk management, and portfolio management.

Top concepts

FinanceBusinessManagementEngineeringAsset PricingRisk ManagementPortfolio SelectionPortfolio ManagementPortfolio OptimizationMathematical Programming

Publications per year

1998–2023

6

Publications

6

Infinite Horizon Risk Sensitive Control of Discrete Time Markov Processes under Minorization Property

Giovanni B. Di Masi, Łukasz Stettner · SIAM Journal on Control and Optimization · 2007 · 92 citations

Mathematical Programming, Minorization Property, Engineering +10

Infinite horizon risk sensitive control of discrete time Markov processes with small risk

Giovanni B. Di Masi, Łukasz Stettner · Systems & Control Letters · 2000 · 66 citations

Stochastic Hybrid System, Discrete Time Markov, Engineering +8

Risk sensitive portfolio optimization

Łukasz Stettner · Mathematical Methods of Operations Research · 1999 · 41 citations

Portfolio Optimization, Portfolio Selection, Risk Management +5

On option pricing in the multidimensional Cox-Ross-Rubinstein model

Michał Motoczyński, Łukasz Stettner · Applicationes Mathematicae · 1998 · 15 citations · Full text

Mathematical Programming, Option Pricing, Risky Assets +9

Discrete‐time risk sensitive portfolio optimization with proportional transaction costs

Marcin Pitera, Łukasz Stettner · Mathematical Finance · 2023 · 13 citations · Full text

Proportional Transaction Costs, Portfolio Optimization, Financial Economics +14

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