Search Results for author: Łukasz Stettner

Found 2 papers, 0 papers with code

A novel scaling approach for unbiased adjustment of risk estimators

no code implementations9 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.

Discrete-time risk sensitive portfolio optimization with proportional transaction costs

no code implementations8 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.

Portfolio Optimization

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