Derives explicit optimal strategies under log, power, and exponential utility for assets whose drift is driven by fast and slow latent mean-reverting factors, showing the filtered drift estimate reduces to a MACD-type signal.
International Journal of Theoretical and Applied Finance , volume=
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Portfolio Optimization under Fast and Slow Latent Mean-Reverting and Momentum Drift
Derives explicit optimal strategies under log, power, and exponential utility for assets whose drift is driven by fast and slow latent mean-reverting factors, showing the filtered drift estimate reduces to a MACD-type signal.