Discrete‐time risk sensitive portfolio optimization with proportional transaction costs
研究了长期离散时间框架下带比例交易成本的风险敏感投资组合优化问题，在独立同分布对数收益假设下证明了贝尔曼方程解的存在性，并用数值例子展示了如何构建最优交易策略。
Abstract In this paper we consider a discrete‐time risk sensitive portfolio optimization over a long time horizon with proportional transaction costs. We show that within the log‐return i.i.d. framework the solution to a suitable Bellman equation exists under minimal assumptions and can be used to characterize the optimal strategies for both risk‐averse and risk‐seeking cases. Moreover, using numerical examples, we show how a Bellman equation analysis can be used to construct or refine optimal trading strategies in the presence of transaction costs.