15 citations · 54 across the 23 of their papers we have counts for
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q-fin.PM2025
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…
q-fin.PM2022★ 1 cited
Discrete-time risk sensitive portfolio optimization with proportional transaction costs
Marcin Pitera, Łukasz Stettner
In this paper we consider a discrete-time risk sensitive portfolio optimization over a long time horizon with proportional transaction costs. We show that within the log-return i.i…