12 citations · 34 across the 13 of their papers we have counts for
14 papers
Long-run risk-sensitive portfolio optimisation with proportional transaction costs and log Lévy asset prices
Damian Jelito, Łukasz Stettner
We study a long-run risk-sensitive portfolio problem with proportional transaction costs in a continuous-time market whose log-prices are given as a Lévy process, and rebalancing i…
Coherent estimation of risk measures
Martin Aichele, Igor Cialenco, Damian Jelito +1
We develop a statistical framework for risk estimation, inspired by the axiomatic theory of risk measures. Coherent risk estimators -- functionals of P\&L samples inheriting the ec…
Statistical applications of the 20/60/20 rule in risk management and portfolio optimization
Kewin Pączek, Damian Jelito, Marcin Pitera +1
This paper explores the applications of the 20/60/20 rule-a heuristic method that segments data into top-performing, average-performing, and underperforming groups-in mathematical…
Conditional correlation estimation and serial dependence identification
Kewin Pączek, Damian Jelito, Marcin Pitera +1
It has been recently shown in Jaworski, P., Jelito, D. and Pitera, M. (2024), 'A note on the equivalence between the conditional uncorrelation and the independence of random variab…
Gaussian dependence structure pairwise goodness-of-fit testing based on conditional covariance and the 20/60/20 rule
Jakub Woźny, Piotr Jaworski, Damian Jelito +2
We present a novel data-oriented statistical framework that assesses the presumed Gaussian dependence structure in a pairwise setting. This refers to both multivariate normality an…
Goodness-of-fit tests for the one-sided Lévy distribution based on quantile conditional moments
Kewin Pączek, Damian Jelito, Marcin Pitera +1
In this paper we introduce a novel statistical framework based on the first two quantile conditional moments that facilitates effective goodness-of-fit testing for one-sided Lévy d…
Long-run impulse control with generalised discounting
Damian Jelito, Łukasz Stettner
In this paper, we investigate the effects of applying generalised (non-exponential) discounting on a long-run impulse control problem for a Feller-Markov process. We show that the…
Asymptotics of impulse control problem with multiplicative reward
Damian Jelito, Łukasz Stettner
We consider a long-run impulse control problem for a generic Markov process with a multiplicative reward functional. We construct a solution to the associated Bellman equation and…
Estimation of stability index for symmetric α-stable distribution using quantile conditional variance ratios
Kewin Pączek, Damian Jelito, Marcin Pitera +1
The class of -stable distributions is widely used in various applications, especially for modelling heavy-tailed data. Although the -stable distributions have been used in pr…
A note on the equivalence between the conditional uncorrelation and the independence of random variables
Piotr Jaworski, Damian Jelito, Marcin Pitera
It is well known that while the independence of random variables implies zero correlation, the opposite is not true. Namely, uncorrelated random variables are not necessarily indep…
Risk-sensitive optimal stopping with unbounded terminal cost function
Damian Jelito, Łukasz Stettner
In this paper we consider an infinite time horizon risk-sensitive optimal stopping problem for a Feller--Markov process with an unbounded terminal cost function. We show that in th…
Risk sensitive optimal stopping
Damian Jelito, Marcin Pitera, Łukasz Stettner
In this paper we consider discrete and continuous time risk sensitive optimal stopping problem. Using suitable properties of the underlying Feller-Markov process we prove continuit…
Long-run risk sensitive impulse control
Damian Jelito, Marcin Pitera, Łukasz Stettner
In this paper we consider long-run risk sensitive average cost impulse control applied to a continuous-time Feller-Markov process. Using the probabilistic approach, we show how to…
New fat-tail normality test based on conditional second moments with applications to finance
Damian Jelito, Marcin Pitera
In this paper we introduce an efficient fat-tail measurement framework that is based on the conditional second moments. We construct a goodness-of-fit statistic that has a direct i…