48 citations · 357 across the 28 of their papers we have counts for
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q-fin.PM2023
Optimal investment in ambiguous financial markets with learning
Nicole Bäuerle, Antje Mahayni
We consider the classical multi-asset Merton investment problem under drift uncertainty, i.e. the asset price dynamics are given by geometric Brownian motions with constant but unk…
q-fin.PM2021★ 3 cited
Bayesian optimal investment and reinsurance with dependent financial and insurance risks
Nicole Bäuerle, Gregor Leimcke
Major events like natural catastrophes or the COVID-19 crisis have impact both on the financial market and on claim arrival intensities and claim sizes of insurers. Thus, when opti…
q-fin.PM2017
Extremal Behavior of Long-Term Investors with Power Utility
Nicole Bäuerle, Stefanie Grether
We consider a Bayesian financial market with one bond and one stock where the aim is to maximize the expected power utility from terminal wealth. The solution of this problem is kn…