14 citations · 19 across the 10 of their papers we have counts for
Showing 2016Show all
2 papers · 1 filter
q-fin.PM2016
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…
q-fin.PM2016★ 2 cited
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…