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Robust Utility Maximization in a Multivariate Financial Market with Stochastic Drift
This leads to local optimization problems, and the resulting optimal strategy needs to be updated continuously in time.
Robust Utility Maximizing Strategies under Model Uncertainty and their Convergence
In this paper we investigate a utility maximization problem with drift uncertainty in a multivariate continuous-time Black-Scholes type financial market which may be incomplete.
Diffusion Approximations for Expert Opinions in a Financial Market with Gaussian Drift
We use our limit theorems to derive so-called diffusion approximations of the filter for high-frequency discrete-time expert opinions.
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