14 citations · 19 across the 10 of their papers we have counts for
13 papers
Portfolio Optimization in a Market with Hidden Gaussian Drift and Randomly Arriving Expert Opinions: Modeling and Theoretical Results
Abdelali Gabih, Ralf Wunderlich
This paper investigates the optimal selection of portfolios for power utility maximizing investors in a financial market where stock returns depend on a hidden Gaussian mean revert…
Power Utility Maximization with Expert Opinions at Fixed Arrival Times in a Market with Hidden Gaussian Drift
Abdelali Gabih, Hakam Kondakji, Ralf Wunderlich
In this paper we study optimal trading strategies in a financial market in which stock returns depend on a hidden Gaussian mean reverting drift process. Investors obtain informatio…
On the Input-Output Behavior of a Geothermal Energy Storage: Approximations by Model Order Reduction
Paul Honore Takam, Ralf Wunderlich
In this paper we consider a geothermal energy storage in which the spatio-temporal temperature distribution is modeled by a heat equation with a convection term. Such storages ofte…
Well Posedness of Utility Maximization Problems Under Partial Information in a Market with Gaussian Drift
Abdelali Gabih, Hakam Kondakji, Ralf Wunderlich
This paper investigates well posedness of utility maximization problems for financial markets where stock returns depend on a hidden Gaussian mean-reverting drift process. Since th…
Short-Term Behavior of a Geothermal Energy Storage: Numerical Applications
Paul Honore Takam, Ralf Wunderlich, Olivier Menoukeu Pamen
This paper is devoted to numerical simulations of the short-term behavior of the spatial temperature distribution in a geothermal energy storage. Such simulations are needed for th…
Short-Term Behavior of a Geothermal Energy Storage: Modeling and Theoretical Results
Paul Honore Takam, Ralf Wunderlich, Olivier Menoukeu Pamen
This paper investigates numerical methods for simulations of the short-term behavior of a geothermal energy storage. Such simulations are needed for the optimal control and managem…
Credit risk with asymmetric information and a switching default threshold
Imke Redeker, Ralf Wunderlich
We investigate the impact of available information on the estimation of the default probability within a generalized structural model for credit risk. The traditional structural mo…
Asymptotic Filter Behavior for High-Frequency Expert Opinions in a Market with Gaussian Drift
Abdelali Gabih, Hakam Kondakji, Ralf Wunderlich
This paper investigates a financial market where stock returns depend on a hidden Gaussian mean reverting drift process. Information on the drift is obtained from returns and exper…
Diffusion Approximations for Expert Opinions in a Financial Market with Gaussian Drift
Jörn Sass, Dorothee Westphal, Ralf Wunderlich
This paper investigates a financial market where returns depend on an unobservable Gaussian drift process. While the observation of returns yields information about the underlying…
Portfolio optimization under dynamic risk constraints: continuous vs. discrete time trading
Imke Redeker, Ralf Wunderlich
We consider an investor facing a classical portfolio problem of optimal investment in a log-Brownian stock and a fixed-interest bond, but constrained to choose portfolio and consum…
Expert Opinions and Logarithmic Utility Maximization for Multivariate Stock Returns with Gaussian Drift
Jörn Sass, Dorothee Westphal, Ralf Wunderlich
This paper investigates optimal trading strategies in a financial market with multidimensional stock returns where the drift is an unobservable multivariate Ornstein-Uhlenbeck proc…
Expert Opinions and Logarithmic Utility Maximization in a Market with Gaussian Drift
Abdelali Gabih, Hakam Kondakji, Jörn Sass +1
This paper investigates optimal portfolio strategies in a financial market where the drift of the stock returns is driven by an unobserved Gaussian mean reverting process. Informat…
Portfolio Optimization under Partial Information with Expert Opinions: a Dynamic Programming Approach
Rüdiger Frey, Abdelali Gabih, Ralf Wunderlich
This paper investigates optimal portfolio strategies in a market where the drift is driven by an unobserved Markov chain. Information on the state of this chain is obtained from st…