Long run risk sensitive portfolio selection is considered with proportional transaction costs. In the paper two methods to prove existence of solutions to suitable Bellman equations are presented. The first method is based on discounted cost approximation and requires uniform absolute continuity of iterations of transition operators of the factor process. The second method is based on uniform ergodicity of portions of the capital invested in assets and requires additional assumptions concerning diversity of investments.
@article{bwmeta1.element.bwnjournal-article-doi-10_4064-bc83-0-14,
author = {\L ukasz Stettner},
title = {Discrete time infinite horizon risk sensitive portfolio selection with proportional transaction costs},
journal = {Banach Center Publications},
volume = {83},
year = {2008},
pages = {231-241},
zbl = {1154.91479},
language = {en},
url = {http://dml.mathdoc.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-bc83-0-14}
}
Łukasz Stettner. Discrete time infinite horizon risk sensitive portfolio selection with proportional transaction costs. Banach Center Publications, Tome 83 (2008) pp. 231-241. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-bc83-0-14/