Mgr. Petr Dostál, Ph.D.

research assistant

Petr Dostál
Research interests: filtering, optimal investment, proportional transaction fees

Biography

Publication list

Petr Dostál earned his master's degree in 2000 and his Ph.D. in 2003 from the Faculty of Mathematics and Physics at Charles University in Prague, specializing in stochastic analysis and its applications in finance. Initially, his research centered on arbitrage-free pricing. He later shifted his focus to long-term optimal investment strategies in the presence of proportional transaction fees, which naturally led him to explore filtering techniques in situations where the rate of return is not directly observable.

Journal articles

  1. Dostál Petr: Almost log-optimal trading strategies for small transaction costs in model with stochastic coefficients, Kybernetika 58 6 (2022), p. 903-959 Download Download DOI: 10.14736/kyb-2022-6-0903 [2022]
  2. Dostál Petr, Mach Tibor: Progressive projection and log-optimal investment in the frictionless market, Theory of Stochastic Processes 25 1 (2020), p. 37-77 Download Download [2020]