15 citations · 54 across the 23 of their papers we have counts for
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math.OC2015
Long run risk sensitive portfolio with general factors
Marcin Pitera, Łukasz Stettner
In the paper portfolio optimization over long run risk sensitive criterion is considered. It is assumed that economic factors which stimulate asset prices are ergodic but non neces…
math.PR2015
The 20-60-20 Rule
Piotr Jaworski, Marcin Pitera
In this paper we discuss an empirical phenomena known as the 20-60-20 rule. It says that if we split the population into three groups, according to some arbitrary benchmark criteri…