Information uncertainty related to marked random times and optimal investment

DOI10.1186/S41546-018-0029-8MaRDI QIDQ2296112zbMATH OpenOpenAlexWikidataFDO

Authors Ying Jiao, Idris Kharroubi

Publication date 17 February 2020

Published in Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1607.02743

zbMATH Keywords

utility maximizationinformation uncertaintyenlargement of filtrationsmarked random times

Mathematics Subject Classification ID

Financial markets (91G15) Martingales with continuous parameter (60G44) Optimal stochastic control (93E20)

Abstract: 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. MSC: 60G20, 91G40, 93E20

Recommendations

• Information and optimal investment in defaultable assets
• Optimal investment with inside information and parameter uncertainty
• Portfolio optimization with insider's initial information and counterparty risk
• Optimal investment and risk control for an insurer under inside information
• Portfolio optimization in a default model under full/partial information

Cites work

• scientific article; zbMATH DE number 3907486 (Why is no real title available?)
• scientific article; zbMATH DE number 3727272 (Why is no real title available?)
• scientific article; zbMATH DE number 3505964 (Why is no real title available?)
• scientific article; zbMATH DE number 1834045 (Why is no real title available?)
• A jump to default extended CEV model: an application of Bessel processes
• A monetary value for initial information in portfolio optimization
• Additional logarithmic utility of an insider
• Anticipation cancelled by a Girsanov transformation: A paradox on Wiener space
• Carthaginian enlargement of filtrations
• Credit risk: Modelling, valuation and hedging
• Enlargement of filtrations with finance in view
• Exponential utility maximization in an incomplete market with defaults
• Insider Trading in a Continuous Time Market Model
• Linking progressive and initial filtration expansions
• MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL
• Martingale representation theorems for initially enlarged filtrations.
• Mean-variance hedging on uncertain time horizon in a market with a jump
• On models of default risk.
• Optimal investment decisions when time-horizon is uncertain
• Optimal investment under multiple defaults risk: a BSDE-decomposition approach
• Progressive filtration expansions via a process, with applications to insider trading
• Semi-martingales et grossissement d'une filtration
• Systematic equity-based credit risk: A CEV model with jump to default
• Utility maximization with random horizon: a BSDE approach

Cited in

(4)

• Optimal investment with inside information and parameter uncertainty
• Information and optimal investment in defaultable assets
• Portfolio optimization with insider's initial information and counterparty risk
• Comment on “Investment Timing Under Incomplete Information”

This page was built for publication: Information uncertainty related to marked random times and optimal investment

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2296112)