17 citations · 122 across the 28 of their papers we have counts for
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q-fin.PM2018
On the solution uniqueness in portfolio optimization and risk analysis
Bogdan Grechuk, Andrzej Palczewski, Jan Palczewski
We consider the issue of solution uniqueness for portfolio optimization problem and its inverse for asset returns with a finite number of possible scenarios. The risk is assessed b…
q-fin.PM2007
Growth-optimal portfolios under transaction costs
Jan Palczewski, Lukasz Stettner
This paper studies a portfolio optimization problem in a discrete-time Markovian model of a financial market, in which asset price dynamics depend on an external process of economi…