Expert opinions and logarithmic utility maximization in a market with Gaussian drift

Utility maximization in a jump market model

Abstract In this paper, we consider the classical problem of utility maximization in a financial market allowing jumps. Assuming that the constraint set is a compact set, rather than a convex one, we use a dynamic method from which we derive a specific BSDE. This being done, we aim at showing existence and uniqueness results for the introduced BSDE. This allows us finally to give an “explicit” ...

Market Completion and Robust Utility Maximization

In this thesis we study two problems of financial mathematics that are closely related. The first part proposes a method to find prices and hedging strategies for risky claims exposed to a risk factor that is not hedgeable on a financial market. In the second part we calculate the maximal utility and optimal trading strategies on incomplete markets using Backward Stochastic Differential Equatio...

Utility Maximization in an Illiquid Market

We consider a stochastic optimization problem of maximizing the expected utility from terminal wealth in an illiquid market. A discrete time model is constructed with few additional state variables. The dynamic programming approach is then developed and used for numerical studies. No-arbitrage conditions were also discussed.

Bsdes in Utility Maximization with Bmo Market Price of Risk

This article studies quadratic semimartingale BSDEs arising in power utility maximization when the market price of risk is of BMO type. In a Brownian setting we provide a necessary and sufficient condition for the existence of a solution but show that uniqueness fails to hold in the sense that there exists a continuum of distinct square-integrable solutions. This feature occurs since, contrary ...

A Gaussian Model of Expert Opinions for Supporting Design Decisions