Diffusion approximations for randomly arriving expert opinions in a financial market with Gaussian drift

DOI10.1017/jpr.2020.82zbMath1458.91208arXiv1807.00568OpenAlexW3135032355WikidataQ114118026 ScholiaQ114118026MaRDI QIDQ4964789

Ralf Wunderlich, Jörn Sass, Dorothee Westphal

Publication date: 3 March 2021

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1807.00568

zbMATH Keywords

Ornstein-Uhlenbeck processKalman filterportfolio optimizationdiffusion approximationspartial informationexpert opinions

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Optimal stochastic control (93E20) Portfolio theory (91G10) (L^p)-limit theorems (60F25) Financial markets (91G15)

Related Items (3)

Diffusion approximations for periodically arriving expert opinions in a financial market with Gaussian drift ⋮ Risk‐sensitive benchmarked asset management with expert forecasts ⋮ ROBUST UTILITY MAXIMIZATION IN A MULTIVARIATE FINANCIAL MARKET WITH STOCHASTIC DRIFT

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Risk theory
• Aspects of risk theory
• Portfolio selection under incomplete information
• Convergence of discrete-time Kalman filter estimate to continuous time estimate
• Connection between continuous and discrete Riccati equations with applications to kalman filtering
• On the space of vector-valued functions integrable with respect to the white noise
• Financial Modelling with Jump Processes
• Asymptotic filter behavior for high-frequency expert opinions in a market with Gaussian drift
• EXPERT OPINIONS AND LOGARITHMIC UTILITY MAXIMIZATION FOR MULTIVARIATE STOCK RETURNS WITH GAUSSIAN DRIFT
• PORTFOLIO OPTIMIZATION UNDER PARTIAL INFORMATION WITH EXPERT OPINIONS
• Diffusion approximations in collective risk theory

This page was built for publication: Diffusion approximations for randomly arriving expert opinions in a financial market with Gaussian drift