EXPERT OPINIONS AND LOGARITHMIC UTILITY MAXIMIZATION FOR MULTIVARIATE STOCK RETURNS WITH GAUSSIAN DRIFT

DOI10.1142/S0219024917500224zbMath1396.91703arXiv1601.08155OpenAlexW2963538658MaRDI QIDQ5281724

Jörn Sass, Ralf Wunderlich, Dorothee Westphal

Publication date: 26 July 2017

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1601.08155

zbMATH Keywords

Ornstein-Uhlenbeck processportfolio optimizationpartial informationconditional covariance matrixunbiased expert opinions

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Diffusion processes (60J60) Portfolio theory (91G10)

Related Items

Optimal portfolio and certainty equivalence estimator for the appreciation rate ⋮ Diffusion approximations for periodically arriving expert opinions in a financial market with Gaussian drift ⋮ Risk‐sensitive benchmarked asset management with expert forecasts ⋮ Diffusion approximations for randomly arriving expert opinions in a financial market with Gaussian drift ⋮ Asymptotic filter behavior for high-frequency expert opinions in a market with Gaussian drift ⋮ Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty ⋮ ROBUST UTILITY MAXIMIZATION IN A MULTIVARIATE FINANCIAL MARKET WITH STOCHASTIC DRIFT

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