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- W4225540785 abstract "In this paper we consider a discrete-time risk sensitive portfolio optimization over a long time horizon with proportional transaction costs. We show that within the log-return i.i.d. framework the solution to a suitable Bellman equation exists under minimal assumptions and can be used to characterize the optimal strategies for both risk-averse and risk-seeking cases. Moreover, using numerical examples, we show how a Bellman equation analysis can be used to construct or refine optimal trading strategies in the presence of transaction costs." @default.
- W4225540785 created "2022-05-05" @default.
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- W4225540785 date "2022-01-08" @default.
- W4225540785 modified "2023-09-23" @default.
- W4225540785 title "Discrete-time risk sensitive portfolio optimization with proportional transaction costs" @default.
- W4225540785 doi "https://doi.org/10.48550/arxiv.2201.02828" @default.
- W4225540785 hasPublicationYear "2022" @default.
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