2 papers
q-fin.PM2023
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…
q-fin.MF2018
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…