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Sponsored AI Networking Cookbook: Practical recipes for AI-assisted network automation and development AI Networking Cookbook: Practical recipes for AI-assisted network automation and development

Author

Damian Jelito

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Preprint Aug 2026

Long-run risk-sensitive portfolio optimisation with proportional transaction costs and log L\'{e}vy asset prices

We study a long-run risk-sensitive portfolio problem with proportional transaction costs in a continuous-time market whose log-prices are given as a L\'{e}vy process, and rebalancing is possible only at random moments of investment opportunities. Using a Schauder fixed-point argument, we solve the ergodic Bellman equat...

Damian Jelito, Łukasz Stettner · 0 citations

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