2 papers
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…
math.PR2005
On utility maximization in discrete-time financial market models
Miklos Rasonyi, Lukasz Stettner
We consider a discrete-time financial market model with finite time horizon and give conditions which guarantee the existence of an optimal strategy for the problem of maximizing e…