14 citations · 17 across the 5 of their papers we have counts for
6 papers
Robust Utility Maximization in a Multivariate Financial Market with Stochastic Drift
Jörn Sass, Dorothee Westphal
We study a utility maximization problem in a financial market with a stochastic drift process, combining a worst-case approach with filtering techniques. Drift processes are diffic…
Robust Utility Maximizing Strategies under Model Uncertainty and their Convergence
Jörn Sass, Dorothee Westphal
In this paper we investigate a utility maximization problem with drift uncertainty in a multivariate continuous-time Black-Scholes type financial market which may be incomplete. We…
Diffusion Approximations for Expert Opinions in a Financial Market with Gaussian Drift
Jörn Sass, Dorothee Westphal, Ralf Wunderlich
This paper investigates a financial market where returns depend on an unobservable Gaussian drift process. While the observation of returns yields information about the underlying…
Filterbased Stochastic Volatility in Continuous-Time Hidden Markov Models
Vikram Krishnamurthy, Elisabeth Leoff, Jörn Sass
Regime-switching models, in particular Hidden Markov Models (HMMs) where the switching is driven by an unobservable Markov chain, are widely-used in financial applications, due to…
Expert Opinions and Logarithmic Utility Maximization for Multivariate Stock Returns with Gaussian Drift
Jörn Sass, Dorothee Westphal, Ralf Wunderlich
This paper investigates optimal trading strategies in a financial market with multidimensional stock returns where the drift is an unobservable multivariate Ornstein-Uhlenbeck proc…
Expert Opinions and Logarithmic Utility Maximization in a Market with Gaussian Drift
Abdelali Gabih, Hakam Kondakji, Jörn Sass +1
This paper investigates optimal portfolio strategies in a financial market where the drift of the stock returns is driven by an unobserved Gaussian mean reverting process. Informat…