6 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…
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…
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…
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…