Abdelali Gabih

Chouaib Doukkali University — MA

Economics, Econometrics and Finance · Social Sciences

6h-index175citations22works0.32yr avg
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Research Topics

Stochastic processes and financial applications(20), Risk and Portfolio Optimization(12), Economic theories and models(9), Financial Markets and Investment Strategies(8), Complex Systems and Time Series Analysis(3)

Publications22 total

Portfolio optimization in a market with hidden Gaussian drift and randomly arriving expert opinions
Annals of Operations Research·2025Open Access
Correction: Power utility maximization with expert opinions at fixed arrival times in a market with hidden gaussian drift
Annals of Operations Research·2024Open Access
Power utility maximization with expert opinions at fixed arrival times in a market with hidden Gaussian drift
Annals of Operations Research·2024· 1 citedOpen Access
Portfolio Optimization in a Market with Hidden Gaussian Drift and Randomly Arriving Expert Opinions: Modeling and Theoretical Results
arXiv (Cornell University)·2023Open Access
Power Utility Maximization with Expert Opinions at Fixed Arrival Times in a Market with Hidden Gaussian Drift
arXiv (Cornell University)·2023Open Access
Well Posedness of Utility Maximization Problems Under Partial Information in a Market with Gaussian Drift
arXiv (Cornell University)·2022Open Access
Asymptotic filter behavior for high-frequency expert opinions in a market with Gaussian drift
Stochastic Models·2020Open Access
Asymptotic Filter Behavior for High-Frequency Expert Opinions in a\n Market with Gaussian Drift
arXiv (Cornell University)·2018Open Access
Expert opinions and logarithmic utility maximization in a market with Gaussian drift
Communications on Stochastic Analysis·2014· 5 citedOpen Access
Portfolio optimization under partial information with expert opinions: a dynamic programming approach
Communications on Stochastic Analysis·2014· 5 citedOpen Access
Portfolio Optimization under Partial Information with Expert Opinions: a\n Dynamic Programming Approach
arXiv (Cornell University)·2013Open Access
PORTFOLIO OPTIMIZATION UNDER PARTIAL INFORMATION WITH EXPERT OPINIONS
WORLD SCIENTIFIC eBooks·2012· 5 cited
PORTFOLIO OPTIMIZATION UNDER PARTIAL INFORMATION WITH EXPERT OPINIONS
International Journal of Theoretical and Applied Finance·2011· 52 cited
Utility Maximization Under Bounded Expected Loss
Stochastic Models·2009· 35 cited
Optimal Portfolios Under Bounded Shortfall Risk and Partial Information
2007· 1 cited
Optimal portfolio strategies benchmarking the stock market
Mathematical Methods of Operations Research·2006· 8 cited
Dynamic utility maximization with bounded shortfall risks
PAMM·2005· 1 citedOpen Access
Dynamic optimal portfolios benchmarking the stock market
Qucosa - Monarch (Chemnitz University of Technology)·2005· 2 citedOpen Access
Dynamic Portfolio Optimization with Bounded Shortfall Risks
Stochastic Analysis and Applications·2005· 42 cited
An <I>ε</I>-Optimal Portfolio with Stochastic Volatility
Monte Carlo Methods and Applications·2005
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Frequent Co-authors

Ralf Wunderlich(16), Hakam Kondakji(7), Rüdiger Frey(4), Wilfried Grecksch(4), R. Wunderlich(4), Jörn Saß(3), Marcel K. Richter(1), Matthias Richter(1)