Article ID: | iaor20003540 |
Country: | Germany |
Volume: | 50 |
Issue: | 3 |
Start Page Number: | 463 |
End Page Number: | 474 |
Publication Date: | Jan 1999 |
Journal: | Mathematical Methods of Operations Research (Heidelberg) |
Authors: | Stettner L. |
Keywords: | portfolio management |
In the paper discrete time portfolio selection with maximization of the risk sensitized growth rate with and without transaction costs is considered.