scholarly journals Robust Utility Maximization in Discrete-Time Markets with Friction

2018 ◽  
Vol 56 (3) ◽  
pp. 1912-1937 ◽  
Author(s):  
Ariel Neufeld ◽  
Mario Šikić
2021 ◽  
Vol 58 (1) ◽  
pp. 197-216 ◽  
Author(s):  
Jörn Sass ◽  
Dorothee Westphal ◽  
Ralf Wunderlich

AbstractThis paper investigates a financial market where stock returns depend on an unobservable Gaussian mean reverting drift process. Information on the drift is obtained from returns and randomly arriving discrete-time expert opinions. Drift estimates are based on Kalman filter techniques. We study the asymptotic behavior of the filter for high-frequency experts with variances that grow linearly with the arrival intensity. The derived limit theorems state that the information provided by discrete-time expert opinions is asymptotically the same as that from observing a certain diffusion process. These diffusion approximations are extremely helpful for deriving simplified approximate solutions of utility maximization problems.


2016 ◽  
Vol 7 (1) ◽  
pp. 70-103 ◽  
Author(s):  
Julio D. Backhoff Veraguas ◽  
Joaquín Fontbona

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