TY - GEN A1 - Frey, Rüdiger A1 - Gabih, Abdelali A1 - Wunderlich, Ralf T1 - Portfolio optimization under partial information with expert opinions T2 - International Journal of Theoretical and Applied Finance Y1 - 2012 U6 - https://doi.org/10.1142/S0219024911006486 VL - 15 IS - 1 SP - 1250009-1 EP - 1250009-17 ER - TY - GEN A1 - Frey, Rüdiger A1 - Wunderlich, Ralf T1 - Dynamic Programming Equations for Portfolio Optimization under Partial Information with Expert Opinions T2 - ArXiv.org Y1 - 2013 UR - http://arxiv.org/pdf/1303.2513v2.pdf ER - TY - GEN A1 - Frey, Rüdiger A1 - Gabih, Abdelali A1 - Wunderlich, Ralf T1 - Portfolio Optimization under Partial Information with Expert Opinions: a Dynamic Programming Approach T2 - Communications on Stochastic Analysis Y1 - 2014 SN - 0973-9599 VL - 8 IS - 1 SP - 49 EP - 79 ER - TY - GEN A1 - Gabih, Abdelali A1 - Kondakji, Hakam A1 - Sass, Jörn A1 - Wunderlich, Ralf T1 - Expert Opinions and Logarithmic Utility Maximization in a Market with Gaussian Drift T2 - Communications on Stochastic Analysis Y1 - 2014 SN - 0973-9599 VL - 8 IS - 1 SP - 27 EP - 47 ER - TY - GEN A1 - Höfers, Imke A1 - Wunderlich, Ralf T1 - Portfolio optimization under dynamic risk constraints T2 - arXiv.org Y1 - 2016 UR - http://arxiv.org/pdf/1602.00570v1.pdf ER - TY - GEN A1 - Sass, Jörn A1 - Westphal, Dorothee A1 - Wunderlich, Ralf T1 - Expert Opinions and Logarithmic Utility Maximization for Multivariate Stock Returns with Gaussian Drift T2 - ArXiv.org Y1 - 2016 UR - https://arxiv.org/abs/1601.08155 ER - TY - GEN A1 - Shardin, Anton A1 - Wunderlich, Ralf T1 - Partially Observable Stochastic Optimal Control Problems for an Energy Storage T2 - Stochastics : an International Journal of Probability and Stochastic Processes Y1 - 2017 UR - http://www.tandfonline.com/doi/pdf/10.1080/17442508.2016.1166506 UR - http://www.b-tu.de/fg-wirtschaftsmathematik/publikationen/refereed-journals SN - 1744-2516 VL - 89 IS - 1 SP - 280 EP - 310 ER - TY - GEN A1 - Redeker, Imke A1 - Wunderlich, Ralf T1 - Portfolio optimization under dynamic risk constraints: Continuous vs. discrete time trading T2 - Statistics & Risk Modeling Y1 - 2018 U6 - https://doi.org/10.1515/strm-2017-0001 SN - 2196-7040 SN - 2193-1402 VL - 35 IS - 1-2 SP - 1 EP - 21 ER - TY - GEN A1 - Sass, Jörn A1 - Westphal, Dorothee A1 - Wunderlich, Ralf T1 - Expert Opinions and Logarithmic Utility Maximization for Multivariate Stock Returns with Gaussian Drift T2 - International Journal of Theoretical and Applied Finance Y1 - 2017 U6 - https://doi.org/10.1142/S0219024917500224 SN - 0219-0249 SN - 1793-6322 VL - 20 IS - 4 SP - 1750022 ER - TY - GEN A1 - Gabih, Abdelali A1 - Kondakji, Hakam A1 - Wunderlich, Ralf T1 - Asymptotic Filter Behavior for High-Frequency Expert Opinions in a Market with Gaussian Drift T2 - arXiv.org Y1 - 2018 UR - https://arxiv.org/abs/1812.03453 ER - TY - GEN A1 - Sass, Jörn A1 - Westphal, Dorothee A1 - Wunderlich, Ralf T1 - Diffusion Approximations for Expert Opinions in a Financial Market with Gaussian Drift T2 - arXiv.org Y1 - 2018 UR - https://arxiv.org/abs/1807.00568 ER - TY - GEN A1 - Redeker, Imke A1 - Wunderlich, Ralf T1 - Credit risk with asymmetric information and a switching default threshold T2 - arXiv Y1 - 2019 UR - https://arxiv.org/abs/1910.14413v2 ER - TY - GEN A1 - Gabih, Abdelali A1 - Kondakji, Hakam A1 - Wunderlich, Ralf T1 - Asymptotic filter behavior for high-frequency expert opinions in a market with Gaussian drift, Stochastic Models T2 - Stochastic Models Y1 - 2020 U6 - https://doi.org/10.1080/15326349.2020.1758567 SN - 1532-6349 VL - 36 IS - 4 SP - 519 EP - 547 ER - TY - GEN A1 - Mastroeni, Loretta A1 - Wunderlich, Ralf T1 - Introduction to Special Issue on Energy Finance T2 - Decisions in Economics and Finance Y1 - 2021 U6 - https://doi.org/10.1007/s10203-021-00367-2 SN - 1129-6569 VL - 44 IS - 2 SP - 1015 EP - 1020 ER - TY - GEN A1 - Sass, Jörn A1 - Westphal, Dorothee A1 - Wunderlich, Ralf T1 - Diffusion approximations for randomly arriving expert opinions in a financial market with Gaussian drift T2 - Journal of Applied Probability Y1 - 2021 U6 - https://doi.org/10.1017/jpr.2020.82 SN - 1475-6072 SN - 0021-9002 VL - 58 IS - 1 SP - 197 EP - 216 ER - TY - GEN A1 - Takam, Paul Honoré A1 - Wunderlich, Ralf A1 - Menoukeu Pamen, Olivier T1 - Short-Term Behavior of a Geothermal Energy Storage: Modeling and Theoretical Results T2 - arXiv.org Y1 - 2021 UR - https://arxiv.org/pdf/2104.05005.pdf SP - 1 EP - 25 ER - TY - GEN A1 - Takam, Paul Honoré A1 - Wunderlich, Ralf A1 - Menoukeu Pamen, Olivier T1 - Short-Term Behavior of a Geothermal Energy Storage: Numerical Applications T2 - arXiv.org Y1 - 2021 UR - https://arxiv.org/pdf/2104.05116.pdf SP - 1 EP - 28 ER - TY - GEN A1 - Sass, Jörn A1 - Westphal, Dorothee A1 - Wunderlich, Ralf T1 - Diffusion approximations for periodically arriving expert opinions in a financial market with Gaussian drift T2 - Stochastic Models Y1 - 2022 U6 - https://doi.org/10.1080/15326349.2022.2100423 SN - 1532-4214 VL - 39 SP - 323 EP - 362 ER - TY - GEN A1 - Takam, Paul Honoré A1 - Wunderlich, Ralf T1 - On the Input-Output Behavior of a Geothermal Energy Storage: Approximations by Model Order Reduction T2 - arXiv Y1 - 2022 U6 - https://doi.org/10.48550/arXiv.2209.14761 SP - 1 EP - 42 ER - TY - GEN A1 - Gabih, Abdelali A1 - Kondakji, Hakam A1 - Wunderlich, Ralf T1 - Well Posedness of Utility Maximization Problems Under Partial Information in a Market with Gaussian Drift T2 - arXiv Y1 - 2022 U6 - https://doi.org/10.48550/arXiv.2205.08614 SP - 1 EP - 17 ER - TY - GEN A1 - Takam, Paul Honoré A1 - Wunderlich, Ralf A1 - Menoukeu Pamen, Olivier T1 - Modeling and simulation of the input–output behavior of a geothermal energy storage T2 - Mathematical Methods in the Applied Sciences Y1 - 2024 U6 - https://doi.org/10.1002/mma.9661 SN - 0170-4214 SN - 1099-1476 VL - 47 IS - 1 SP - 371 EP - 396 ER - TY - GEN A1 - Lamert, Kerstin A1 - Auer, Benjamin R. A1 - Wunderlich, Ralf T1 - Discretization of continuous-time arbitrage strategies in financial markets with fractional Brownian motion T2 - arXiv Y1 - 2023 U6 - https://doi.org/10.48550/arXiv.2311.15635 SP - 1 EP - 32 ER - TY - GEN A1 - Gabih, Abdelali A1 - Kondakji, Hakam A1 - Wunderlich, Ralf T1 - Power Utility Maximization with Expert Opinions at Fixed Arrival Times in a Market with Hidden Gaussian Drift T2 - arXiv Y1 - 2023 U6 - https://doi.org/10.48550/arXiv.2301.06847 SP - 1 EP - 33 ER -