My recent papers:
A. Palczewski — Risk minimizing strategies for a portfolio of interest-rate securities, Banach Center Publications, 83 (2008), 195–212. (pdf).
A. Palczewski — Portfolio optimization - a practical approach, ECMI Newsletter No 44 (October 2008), 15–18 (pdf).
P. Kowalczyk, A. Palczewski, G. Russo, Z. Walenta — Numerical solutions of the Boltzmann equation: comparison of different algorithms, Eur. J. Mech.-B, 27 (2008), 62–74. (link)
J. Jakubowski, A. Palczewski — Modelling and optimization of fixed income investments, ERCIM News, 78 (July 2009), 23–24. (link).
A. Palczewski — Risk Minimizing Strategies for Tracking a Stochastic Target. In: Hoemberg D., Troeltzsch F. (eds) System Modeling and Optimization. CSMO 2011. IFIP Advances in Information and Communication Technology, vol 391 (2013). Springer, Berlin, Heidelberg, pp. 188–196.
A. Palczewski, J. Palczewski — Theoretical and empirical estimates of mean-variance portfolio sensitivity, Available at SSRN: (http://ssrn.com/abstract=1553073).
A. Palczewski, J. Palczewski — Theoretical and empirical estimates of mean-variance portfolio sensitivity, Eur. J. Oper. Res., 234 (2014), 402–410.
A. Palczewski, J. Palczewski — Black-Litterman model for continuous distributions, Available at SSRN: (http://ssrn.com/abstract=2744621).
A. Palczewski, J. Palczewski — Black-Litterman model for continuous distributions, Eur. J. Oper. Res., 273 (2019), 708–720.
A. Palczewski, J. Palczewski —Elliptical Black-Litterman portfolio optimization, Available at SSRN: (https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2941483).
A. Palczewski — Fast LP algorithms for portfolio optimization, Available at SSRN: (https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2951213).
A. Palczewski — LP Algorithms for Portfolio Optimization: The PortfolioOptim Package, R Journal, 10 (1) (2018), 308–327.
B. Grechuk, A. Palczewski, J. Palczewski — On the solution uniqueness in portfolio optimization and risk analysis, Available at arXiv: (https://arxiv.org/abs/1810.11299).
R. Karkowska, A. Palczewski — Does high-frequency trading actually improve market liquidity? A comparative study for selected models and measures, Res. Int. Bus. Finance, 64 (2023), 101872. (link).
A. Palczewski — Partial Schauder estimates for unbounded solutions of the Kolmogorov equation, Available at arXiv: (https://arxiv.org/pdf/2306.12112.pdf).