3 papers
q-fin.PM2023
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…
q-fin.PM2022
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…
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…