Information uncertainty related to marked random times and optimal investment

DOI10.1186/S41546-018-0029-8zbMATH Open1443.91273arXiv1607.02743OpenAlexW2463537585WikidataQ129829459 ScholiaQ129829459MaRDI QIDQ2296112FDOQ2296112

Authors: Ying Jiao, Idris Kharroubi 

Publication date: 17 February 2020

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

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

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

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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)

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Cited In (4)

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

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