Expert Opinions and Logarithmic Utility Maximization in a Market with Gaussian Drift
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References listed on IDEAS
- Rudiger Frey & Abdelali Gabih & Ralf Wunderlich, 2013. "Portfolio Optimization under Partial Information with Expert Opinions: a Dynamic Programming Approach," Papers 1303.2513, arXiv.org, revised Feb 2014.
- Jörn Sass & Ulrich Haussmann, 2004. "Optimizing the terminal wealth under partial information: The drift process as a continuous time Markov chain," Finance and Stochastics, Springer, vol. 8(4), pages 553-577, November.
- Honda, Toshiki, 2003. "Optimal portfolio choice for unobservable and regime-switching mean returns," Journal of Economic Dynamics and Control, Elsevier, vol. 28(1), pages 45-78, October.
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- Sangmin Lee & Andrew Papanicolaou, 2016. "Pairs Trading Of Two Assets With Uncertainty In Co-Integration'S Level Of Mean Reversion," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(08), pages 1-36, December.
- repec:wsi:ijtafx:v:20:y:2017:i:04:n:s0219024917500224 is not listed on IDEAS
- Jorn Sass & Dorothee Westphal & Ralf Wunderlich, 2016. "Expert Opinions and Logarithmic Utility Maximization for Multivariate Stock Returns with Gaussian Drift," Papers 1601.08155, arXiv.org, revised Mar 2016.
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