Information uncertainty related to marked random times and optimal investment
Jiao, Ying; Kharroubi, Idris (2018), Information uncertainty related to marked random times and optimal investment, Probability, Uncertainty and Quantitative Risk, 3, 3. 10.1186/s41546-018-0029-8
TypeArticle accepté pour publication ou publié
External document linkhttps://hal.archives-ouvertes.fr/hal-01343702
Journal nameProbability, Uncertainty and Quantitative Risk
MetadataShow full item record
Abstract (EN)We study an optimal investment problem under default risk where related information such as loss or recovery at default is considered as an exogenous random mark added at default time. Two types of agents who have different levels of information are considered. We first make precise the insider's information flow by using the theory of enlargement of filtrations and then obtain explicit logarithmic utility maximization results to compare optimal wealth for the insider and the ordinary agent.
Subjects / Keywordsinformation uncertainty; marked random times; enlargement of filtrations; utility maximization
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