3 papers
math.OC2026
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…
math.OC2025
Discrete time shadow price revisited
Tomasz Rogala, Łukasz Stettner
In the paper discrete time shadow price is constructed for the market with several assets with given bid and ask prices. Shadow price is the price such that the problem of optimal…
math.OC2023
Long run stochastic control problems with general discounting
Łukasz Stettner
Controlled discrete time Markov processes are studied first with long run general discounting functional. It is shown that optimal strategies for average reward per unit time probl…