| 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.