• Corpus ID: 248863393

Well Posedness of Utility Maximization Problems Under Partial Information in a Market with Gaussian Drift

@inproceedings{Gabih2022WellPO,
  title={Well Posedness of Utility Maximization Problems Under Partial Information in a Market with Gaussian Drift},
  author={Abdelali Gabih and Hakam Kondakji and Ralf Wunderlich},
  year={2022}
}
This paper investigates well posedness of utility maximization problems for financial markets where stock returns depend on a hidden Gaussian mean reverting drift process. Since that process is potentially unbounded well posedness cannot be guaranteed for utility functions which are not bounded from above. For power utility with relative risk aversion smaller than those of log-utility this leads to restrictions on the choice of model parameters such as the investment horizon and parameters… 

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