Dr. Dorothee Westphal
I currently have teaching responsibilities for the distance study programme Financial Engineering which is a Master's programme jointly organized by the Department of Mathematics and the DISC.
- Portfolio optimization
- Model uncertainty
- Expert opinions
- J. Sass, D. Westphal (2019).
Robust utility maximizing strategies under model uncertainty and their convergence.
Available on arXiv (30 pages)
- J. Sass, D. Westphal, R. Wunderlich (2019).
Diffusion approximations for expert opinions in a financial market with Gaussian drift.
Available on arXiv (37 pages)
- J. Sass, D. Westphal, R. Wunderlich (2017).
Expert opinions and logarithmic utility maximization for multivariate stock returns with Gaussian drift.
International Journal of Theoretical and Applied Finance 20 (4). (41 pages)