Exponential utility maximization in an incomplete market with defaults

DOI10.1214/EJP.V16-918zbMATH Open1245.49039OpenAlexW2025983864MaRDI QIDQ428526FDOQ428526

Publication date: 22 June 2012

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/ejp.v16-918

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dynamic programming incomplete market exponential utility optimal investment backward stochastic differential equation (BSDE)default time

Mathematics Subject Classification ID

Portfolio theory (91G10) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)

Cited In (26)

Title not available (Why is that?)
Existence and uniqueness results for BSDE with jumps: the whole nine yards
On the weak representation property in progressively enlarged filtrations with an application in exponential utility maximization
Optimal investment for insurance company with exponential utility and wealth-dependent risk aversion coefficient
Optimal Investment-consumption for Partially Observed Jump-diffusions
Optimal investment, consumption and proportional reinsurance for an insurer with option type payoff
Optimal investment under multiple defaults risk: a BSDE-decomposition approach
RECURSIVE BACKWARD SCHEME FOR THE SOLUTION OF A BSDE WITH A NON LIPSCHITZ GENERATOR
Strict local martingales and optimal investment in a Black–Scholes model with a bubble
On the utility maximization of the discrepancy between a perceived and market implied risk neutral distribution
Progressive enlargement of filtrations and backward stochastic differential equations with jumps
Forward-backward stochastic differential games and stochastic control under model uncertainty
Optimal investment, consumption and proportional reinsurance under model uncertainty
A BSDE-based approach for the optimal reinsurance problem under partial information
Optimal investment and consumption under a continuous-time cointegration model with exponential utility
BSDEs with polynomial growth generators in a defaultable market
Information uncertainty related to marked random times and optimal investment
INFORMATION AND OPTIMAL INVESTMENT IN DEFAULTABLE ASSETS
Dynamic investment and counterparty risk
PORTFOLIO OPTIMIZATION IN A DEFAULT MODEL UNDER FULL/PARTIAL INFORMATION
A continuous-time model of self-protection
Dynamic robust duality in utility maximization
Indifference fee rate for variable annuities
Partially informed investors: hedging in an incomplete market with default
Hedging and utility valuation of a defaultable claim driven by Hawkes processes
Optimal reinsurance via BSDEs in a partially observable model with jump clusters

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