Jan Palczewski

University of Leeds - School of Mathematics

Leeds , LS2 9JT

United Kingdom

http://www.maths.leeds.ac.uk/~jp

SCHOLARLY PAPERS

12

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2,698

SSRN CITATIONS
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Top 42,318

in Total Papers Citations

8

CROSSREF CITATIONS

5

Scholarly Papers (12)

1.

Black-Litterman Model for Continuous Distributions

Number of pages: 36 Posted: 08 Mar 2016 Last Revised: 13 Aug 2018
Jan Palczewski and Andrzej Palczewski
University of Leeds - School of Mathematics and University of Warsaw - Faculty of Mathematics, Informatics, and Mechanics
Downloads 389 (78,188)
Citation 1

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Investment analysis, Black-Litterman model, asset allocation, deviation measures, general distribution, numerical methods

2.

From Discrete to Continuous Time Evolutionary Finance Models

Swiss Finance Institute Research Paper No. 08-30
Number of pages: 28 Posted: 28 Oct 2008
Jan Palczewski and Klaus Reiner Schenk-Hoppé
University of Leeds - School of Mathematics and University of Manchester - Department of Economics
Downloads 355 (86,943)
Citation 3

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evolutionary finance, market interaction, wealth dynamics, self-financing strategies, endogenous prices

3.

Tutorial for Viscosity Solutions in Optimal Control of Diffusions

Number of pages: 36 Posted: 05 Apr 2010 Last Revised: 09 Nov 2011
Georgios Aivaliotis and Jan Palczewski
University of Leeds - School of Mathematics and University of Leeds - School of Mathematics
Downloads 350 (88,709)
Citation 4

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viscosity solutions, optimal control, diffusion, Hamilton-Jacobi-Bellman, variational inequality

4.

Theoretical and Empirical Estimates of Mean-Variance Portfolio Sensitivity

Number of pages: 24 Posted: 16 Feb 2010 Last Revised: 10 Dec 2013
Andrzej Palczewski and Jan Palczewski
University of Warsaw - Faculty of Mathematics, Informatics, and Mechanics and University of Leeds - School of Mathematics
Downloads 331 (94,098)
Citation 1

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Investment analysis, asset allocation, mean-variance portfolio, estimation error, bootstrap

5.

Dynamic Portfolio Optimization with Transaction Costs and State-Dependent Drift

Norwegian School of Economics (NHH), Department of Finance Working Paper No. 2014-1
Number of pages: 38 Posted: 31 Oct 2013 Last Revised: 13 Jan 2014
University of Leeds - School of Mathematics, University of Copenhagen - Department of Statistics and Operations Research, University of Manchester - Department of Economics and University of Kent - Kent Business School
Downloads 265 (119,635)
Citation 2

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Portfolio choice, State-dependent drift, Transaction costs, Numerical methods, Dynamic programming

6.

Real Option Valuation for Reserve Capacity

Number of pages: 32 Posted: 12 Oct 2014 Last Revised: 03 Jul 2016
John Moriarty and Jan Palczewski
Queen Mary University of London - School of Mathematical Sciences and University of Leeds - School of Mathematics
Downloads 224 (141,622)
Citation 2

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American option, real option, energy balancing, capacity market

7.

Market Selection of Constant Proportions Investment Strategies in Continuous Time

Swiss Finance Institute Research Paper No. 08-29
Number of pages: 32 Posted: 28 Oct 2008 Last Revised: 18 Nov 2008
Jan Palczewski and Klaus Reiner Schenk-Hoppé
University of Leeds - School of Mathematics and University of Manchester - Department of Economics
Downloads 219 (144,808)
Citation 4

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evolutionary finance, wealth dynamics, endogenous asset prices, random dynamical systems

8.

Elliptical Black-Litterman Portfolio Optimization

Number of pages: 28 Posted: 27 Mar 2017 Last Revised: 29 Aug 2017
Andrzej Palczewski and Jan Palczewski
University of Warsaw - Faculty of Mathematics, Informatics, and Mechanics and University of Leeds - School of Mathematics
Downloads 180 (173,582)
Citation 1

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Black-Litterman, asset allocation, elliptical distribution

9.

Investment Strategies and Compensation of a Mean-Variance Optimizing Fund Manager

Number of pages: 44 Posted: 07 Jun 2011 Last Revised: 21 Apr 2012
Jan Palczewski and Georgios Aivaliotis
University of Leeds - School of Mathematics and University of Leeds - School of Mathematics
Downloads 180 (173,582)

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mean-variance, continuous-time stochastic control, viscosity solutions, investment strategy, managerial compensation

10.

Fragmentation and Stability of Markets

Norwegian School of Economics (NHH), Department of Finance Working Paper No. 2013-7
Number of pages: 41 Posted: 03 Aug 2013 Last Revised: 15 Oct 2015
University of Leicester - School of Business, Norwegian School of Economics (NHH) - Department of Finance, University of Leeds - School of Mathematics and University of Manchester - Department of Economics
Downloads 92 (290,308)
Citation 1

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Skills, market fragmentation, volatility, market resilience

11.

Bayesian Calibration and Number of Jump Components in Electricity Spot Price Models

Number of pages: 43 Posted: 13 Jan 2016 Last Revised: 06 May 2017
Jhonny Gonzalez, John Moriarty and Jan Palczewski
University of Manchester - School of Mathematics, Queen Mary University of London - School of Mathematical Sciences and University of Leeds - School of Mathematics
Downloads 67 (349,601)

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Multifactor models, Bayesian calibration, Markov Chain Monte Carlo, Ornstein-Uhlenbeck process, Electricity spot price, Negative jumps

12.

Itchy Feet vs Cool Heads: Flow of Funds in an Agent-Based Financial Market

Number of pages: 37 Posted: 30 Jun 2015
University of Leeds - School of Mathematics, University of Manchester - Department of Economics and University of Oxford - Said Business School
Downloads 46 (416,748)

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Portfolio management, agent-based financial market, evolutionary finance, flow of funds