英文标题：
《Expert Opinions and Logarithmic Utility Maximization in a Market with
Gaussian Drift》
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作者：
Abdelali Gabih, Hakam Kondakji, J\\\"orn Sass, Ralf Wunderlich
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最新提交年份：
2014
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英文摘要：
This paper investigates optimal portfolio strategies in a financial market where the drift of the stock returns is driven by an unobserved Gaussian mean reverting process. Information on this process is obtained from observing stock returns and expert opinions. The latter provide at discrete time points an unbiased estimate of the current state of the drift. Nevertheless, the drift can only be observed partially and the best estimate is given by the conditional expectation given the available information, i.e., by the filter. We provide the filter equations in the model with expert opinion and derive in detail properties of the conditional variance. For an investor who maximizes expected logarithmic utility of his portfolio, we derive the optimal strategy explicitly in different settings for the available information. The optimal expected utility, the value function of the control problem, depends on the conditional variance. The bounds and asymptotic results for the conditional variances are used to derive bounds and asymptotic properties for the value functions. The results are illustrated with numerical examples.
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中文摘要：
本文研究了金融市场中的最优投资组合策略，其中股票收益率的漂移是由一个不可观测的高斯均值回复过程驱动的。有关这一过程的信息可通过观察股票收益和专家意见获得。后者在离散时间点提供漂移当前状态的无偏估计。然而，漂移只能部分观察到，最佳估计由给定可用信息的条件期望给出，即通过滤波器。我们为模型中的滤波方程提供了专家意见，并详细推导了条件方差的性质。在不同的投资组合中，我们明确地为不同的投资者推导出最优对数信息。最优期望效用，即控制问题的价值函数，取决于条件方差。利用条件方差的界和渐近结果导出了值函数的界和渐近性质。结果用数值例子加以说明。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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