High-frequency expert opinions and power utility maximization in a market with Gaussian drift

Abstract

In a continuous-time financial market with partial information on the drift we solve utility maximization problems which include expert opinions on the unobservable drift modelled by an Ornstein Uhlenbeck process. For... [ view full abstract ]

Authors

  1. Ralf Wunderlich (BTU Cottbus-Senftenberg)
  2. Abdelali Gabih (Université Chouaib Doukkali)
  3. Hakam Kondakji (Brandenburg University of Technology Cottbus-Senftenberg)

Topic Areas

Optimal Control , Optimal Investment , Utility Theory

Session

TU-P-B2 » Utility Maximization: Opinions, Constraints and Computation (14:30 - Tuesday, 17th July, Beckett 2)

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