48 citations · 83 across the 12 of their papers we have counts for
3 papers · 1 filter
Robustness of mathematical models and technical analysis strategies
Ahmed Bel Hadj Ayed, Grégoire Loeper, Frédéric Abergel
The aim of this paper is to compare the performances of the optimal strategy under parameters mis-specification and of a technical analysis trading strategy. The setting we conside…
Performance analysis of the optimal strategy under partial information
Ahmed Bel Hadj Ayed, Grégoire Loeper, Sofiene El Aoud +1
The question addressed in this paper is the performance of the optimal strategy, and the impact of partial information. The setting we consider is that of a stochastic asset price…
Non-linear filtering and optimal investment under partial information for stochastic volatility models
Dalia Ibrahim, Frédéric Abergel
This paper studies the question of filtering and maximizing terminal wealth from expected utility in a partially information stochastic volatility models. The special features is t…