no code implementations • 9 Dec 2023 • Marcin Pitera, Thorsten Schmidt, Łukasz Stettner
The assessment of risk based on historical data faces many challenges, in particular due to the limited amount of available data, lack of stationarity, and heavy tails.
no code implementations • 8 Jan 2022 • 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.