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Discrete time risk sensitive portfolio optimization with consumption and proportional transaction costs
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2005
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Mathematical ProgrammingPortfolio ManagementPortfolio ChoiceFinancial MathematicsProportional Transaction CostsAsset PricingManagementQuantitative ManagementOptimal Investment SecurityEconomicsPortfolio OptimizationPortfolio AllocationFinanceRisk-averse OptimizationSuitable Bellman EquationsPortfolio SelectionBusinessRisk Sensitive CostIntertemporal Portfolio ChoiceFinancial Engineering
Risk sensitive and risk neutral long run portfolio problems with consumption and proportional transaction costs are studied. Existence of solutions to suitable Bellman equations is shown. The asymptotics of the risk sensitive cost when the risk factor con