Discrete time infinite horizon risk sensitive portfolio selection with proportional transaction costs

Volume 83 / 2008

/Lukasz Stettner Banach Center Publications 83 (2008), 231-241 MSC: Primary 91B28; Secondary 93E20, 91B30. DOI: 10.4064/bc83-0-14


Long run risk sensitive portfolio selection is considered with proportional transaction costs. In the paper two methods to prove existence of solutions to suitable Bellman equations are presented. The first method is based on discounted cost approximation and requires uniform absolute continuity of iterations of transition operators of the factor process. The second method is based on uniform ergodicity of portions of the capital invested in assets and requires additional assumptions concerning diversity of investments.


  • /Lukasz StettnerInstitute of Mathematics
    Polish Academy of Sciences
    Śniadeckich 8
    00-956 Warszawa, Poland
    Academy of Finance
    Warszawa, Poland

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