2 papers
q-fin.PM2026
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.PM2024
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…