Optimal investment under multiple defaults risk: a BSDE-decomposition approach

DOI10.1214/11-AAP829zbMath1269.91075arXiv1102.5678MaRDI QIDQ1948694

Huyên Pham, Ying Jiao, Idris Kharroubi

Publication date: 24 April 2013

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1102.5678

zbMATH Keywords

dynamic programmingquadratic backward stochastic differential equationsprogressive enlargement of filtrationsoptimal investmentBrownian filtrationmultiple defaults

Mathematics Subject Classification ID

Related Items (27)

A maximum principle for a stochastic control problem with multiple random terminal times ⋮ Optimal credit investment and risk control for an insurer with regime-switching ⋮ Mean-Variance Hedging Under Multiple Defaults Risk ⋮ Optimal investment and consumption with default risk: HARA utility ⋮ Portfolio Choice with Market--Credit-Risk Dependencies ⋮ Optimal investment in markets with over and under-reaction to information ⋮ Option pricing for path-dependent options with assets exposed to multiple defaults risk ⋮ Dynamic credit investment in partially observed markets ⋮ Binary funding impacts in derivative valuation ⋮ An enlargement of filtration formula with applications to multiple non-ordered default times ⋮ A Risk-Sharing Framework of Bilateral Contracts ⋮ Pricing European options under stochastic looping contagion risk model ⋮ Dynamic investment and counterparty risk ⋮ Robust Optimization of Credit Portfolios ⋮ Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching ⋮ Default barrier intensity model for credit risk evaluation ⋮ Explicit pricing formulas for European option with asset exposed to double defaults risk ⋮ Optimal investment for insurance company with exponential utility and wealth-dependent risk aversion coefficient ⋮ The use of BSDEs to characterize the mean-variance hedging problem and the variance optimal martingale measure for defaultable claims ⋮ Dynamic Portfolio Optimization with Looping Contagion Risk ⋮ A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk ⋮ Information uncertainty related to marked random times and optimal investment ⋮ Optimization problem under change of regime of interest rate ⋮ Risk-Sensitive Asset Management and Cascading Defaults ⋮ OPTIMAL INVESTMENT IN CREDIT DERIVATIVES PORTFOLIO UNDER CONTAGION RISK ⋮ Risk-sensitive credit portfolio optimization under partial information and contagion risk ⋮ BSDEs of counterparty risk

Cites Work

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• Continuous exponential martingales and BMO
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• Utility maximization in incomplete markets
• Pricing Via Utility Maximization and Entropy
• CREDIT RISK PREMIA AND QUADRATIC BSDEs WITH A SINGLE JUMP
• COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION

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