143
Views
2
CrossRef citations to date
0
Altmetric
Articles

Asymptotic filter behavior for high-frequency expert opinions in a market with Gaussian drift

, &
Pages 519-547 | Received 27 Apr 2019, Accepted 17 Apr 2020, Published online: 23 May 2020

References

  • Björk, T.; Davis, M.H.A.; Landén, C. Optimal investment with partial information. Math. Meth. Oper. Res. 2010, 71, 371–399. DOI: 10.1007/s00186-010-0301-x.
  • Black, F.; Litterman, R. Global portfolio optimization. Financial Analysts J. 1992, 48, 28–43. DOI: 10.2469/faj.v48.n5.28.
  • Brendle, S. Portfolio selection under incomplete information. Stochastic Processes Appl. 2006, 116, 701–723. DOI: 10.1016/j.spa.2005.11.010.
  • Cont, R.; Tankov, P. Financial Modelling with Jump Processes; Chapman and Hall/CRC: Boca Raton, 2004.
  • Davis, M.; Lleo, S. Black–Litterman in continuous time: The case for filtering. Quant. Finan. Lett. 2013, 1, 30–35. DOI: 10.1080/21649502.2013.803794.
  • Davis, M.; Lleo, S. Debiased expert opinions in continuous time asset allocation. J. Banking Finan. 2020, 113, 105759. DOI: 10.1016/j.jbankfin.2020.105759.
  • Elliott, R.J.; Aggoun, L.; Moore, J.B. Hidden Markov Models; Springer: New York, 1994.
  • Frey, R.; Gabih, A.; Wunderlich, R. Portfolio optimization under partial information with expert opinions. Int. J. Theor. Appl. Finan. 2012, 15, 1250009. DOI: 10.1142/S0219024911006486.
  • Frey, R.; Gabih, A.; Wunderlich, R. Portfolio optimization under partial information with expert opinions: dynamic programming approach. COSA 2014, 8, 49–71. DOI: 10.31390/cosa.8.1.04.
  • Gabih, A.; Kondakji, H.; Sass, J.; Wunderlich, R. Expert opinions and logarithmic utility maximization in a market with Gaussian drift. COSA 2014, 8, 27–47. DOI: 10.31390/cosa.8.1.03.
  • Gabih, A.; Kondakji, H.; Wunderlich, R. Portfolio Optimization in a Market with Gaussian Drift and Randomly Arriving Expert Opinions. In preparation. 2020.
  • Horn, R.A.; Johnson, C.R. Matrix Analysis, 2nd ed.; Cambridge University Press: New York, 2012.
  • Kondakji, H. Optimal Portfolios for Partially Informed Investors in a Financial Market with Gaussian Drift and Expert Opinions (in German). PhD Thesis, BTU Cottbus-Senftenberg, 2019. https://opus4.kobv.de/opus4-btu/frontdoor/deliver/index/docId/4736/file/Kondakji_Hakam.pdf.
  • Lakner, P. Optimal trading strategy for an investor: the case of partial information. Stochastic Processes Appl. 1998, 76, 77–97. DOI: 10.1016/S0304-4149(98)00032-5.
  • Liptser, R.S.; Shiryaev, A.N. Statistics of Random Processes: General Theory, 2nd ed.; Springer: New York, 2001.
  • Putschögl, W.; Sass, J. Optimal consumption and investment under partial information. Decisions Econ. Finan. 2008, 31, 137–170. DOI: 10.1007/s10203-008-0082-3.
  • Rieder, U.; Bäuerle, N. Portfolio optimization with unobservable Markov-Modulated drift process. J. Appl. Probab. 2005, 42, 362–378. DOI: 10.1239/jap/1118777176.
  • Rogers, L.C.G. Optimal Investment. SpringerBriefs in Quantitative Finance. Springer: Berlin-Heidelberg, 2013.
  • Sass, J.; Haussmann, U.G. Optimizing the terminal wealth under partial information: the drift process as a continuous time Markov chain. Finan. Stochastics 2004, 8, 553–577. DOI: 10.1007/s00780-004-0132-9.
  • Sass, J.; Westphal, D.; Wunderlich, R. Diffusion Approximations for Expert Opinions in a Financial Market with Gaussian Drift. arXiv:1807.00568, 2019.
  • Sass, J.; Westphal, D.; Wunderlich, R. Expert opinions and logarithmic utility maximization for multivariate stock returns with Gaussian drift. Int. J. Theor. Appl. Finan. 2017, 20, 1750022–1750041. DOI: 10.1142/S0219024917500224.
  • Schöttle, K.; Werner, R.; Zagst, R. Comparison and robustification of Bayes and Black-Litterman models. Math. Meth. Oper. Res. 2010, 71, 453–475. DOI: 10.1007/s00186-010-0302-9.
  • Wang, S.-D.; Kuo, T.-S.; Hsu, C.-F. Trace bounds on the solution of the algebraic matrix Riccati and Lyapunov equation. IEEE Trans. Autom. Control 1986, 31, 654–656.
  • Westphal, D. Model uncertainty and expert opinions in continuous-time financial markets. PhD thesis, Technische Universität Kaiserslautern, 2019. https://nbn-resolving.org/urn:nbn:de:hbz:386-kluedo-58414.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.