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…
q-fin.RM2026
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…
q-fin.PM2025
Statistical applications of the 20/60/20 rule in risk management and portfolio optimization
Kewin PÄ czek, 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…