My recent papers:
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 —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).
A. Palczewski, J. Palczewski — Black-Litterman model for continuous distributions, Eur. J. Oper. Res., 273 (2019), 708–720.
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).
B. Grechuk, A. Palczewski, J. Palczewski — On the solution uniqueness in portfolio optimization and risk analysis, Int. J. Theor. Appl. Fin.(IJTAF), 27 (5&6) (2024), 2450019. (link).
A. Palczewski — Partial Schauder estimates for unbounded solutions of the Kolmogorov equation, J. Elliptic Parabol. Equ., 11 (2025), 615–641. (link).
Books and Lecture Notes:
J. Palczewski with additions by A. Palczewski — ”Optymalizacja II” (10.03.2018). link
A. Palczewski, J. Palczewski — ”Analiza Portfelowa” (1.06.2019). link
A. Palczewski — ”Computational Finance” (1.01.2022). link
A. Palczewski — Mathematics of Computational Finance , World Scientific 2026.