Power utility maximization with expert opinions at fixed arrival times in a market with hidden Gaussian drift

DOI10.1007/s10479-024-06172-5MaRDI QIDQ6644365

Abdelali Gabih, Hakam Kondakji, Ralf Wunderlich

Publication date: 27 November 2024

Published in: Annals of Operations Research (Search for Journal in Brave)

zbMATH Keywords

stochastic optimal controlpartial informationKalman-Bucy filterpower utility maximizationexpert opinionsBlack-Litterman model

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Optimal stochastic control (93E20) Financial markets (91G15)

This page was built for publication: Power utility maximization with expert opinions at fixed arrival times in a market with hidden Gaussian drift