Jan Palczewski

University of Leeds

Leeds, LS2 9JT

United Kingdom

http://eps.leeds.ac.uk/staff/4069/dr-jan-palczewski

  • University of Leeds

SCHOLARLY PAPERS

13

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24

Scholarly Papers (13)

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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 and University of Warsaw - Faculty of Mathematics, Informatics, and Mechanics
Downloads 672 (84,727)
Citation 2

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

2.

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 Statistics and University of Leeds
Downloads 558 (107,352)
Citation 5

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

3.

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
Downloads 407 (156,781)
Citation 3

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

4.

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 and The University of Manchester - Department of Economics
Downloads 391 (164,006)
Citation 3

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

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
Jan Palczewski, Rolf Poulsen, Klaus Reiner Schenk-Hoppé and Huamao Wang
University of Leeds, University of Copenhagen - Department of Statistics and Operations Research, The University of Manchester - Department of Economics and University of Nottingham
Downloads 355 (182,662)

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

6.

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 and The University of Manchester - Department of Economics
Downloads 332 (196,441)
Citation 4

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

7.

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
Downloads 305 (215,265)

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Black-Litterman, asset allocation, elliptical distribution

8.

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 and University of Leeds - School of Mathematics and Statistics
Downloads 292 (225,475)
Citation 3

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

9.

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 and University of Leeds
Downloads 276 (239,025)
Citation 3

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American option, real option, energy balancing, capacity market

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
Daniel Ladley, Terje Lensberg, Jan Palczewski and Klaus Reiner Schenk-Hoppé
University of Leicester - School of Business, Norwegian School of Economics (NHH) - Department of Finance, University of Leeds and The University of Manchester - Department of Economics
Downloads 155 (410,924)
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
The University of Manchester - School of Mathematics, Queen Mary University of London and University of Leeds
Downloads 114 (524,463)

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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
Jan Palczewski, Klaus Reiner Schenk-Hoppé and Tongya Wang
University of Leeds, The University of Manchester - Department of Economics and University of Oxford - Said Business School
Downloads 85 (644,477)

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

13.

Exit Game With Private Information

Number of pages: 42 Posted: 17 Oct 2022 Last Revised: 10 Oct 2023
H. Dharma Kwon and Jan Palczewski
University of Illinois at Urbana-Champaign - Gies College of Business and University of Leeds
Downloads 76 (682,882)

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perfect Bayesian equilibrium, stochastic exit game, asymmetric information, optimal stopping