Exponential utility maximization in an incomplete market with defaults

DOI10.1214/EJP.V16-918MaRDI QIDQ428526zbMATH OpenOpenAlexFDO

Authors Thomas Lim, Marie-Claire Quenez

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

zbMATH Keywords

dynamic programmingincomplete marketexponential utilityoptimal investmentbackward 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)

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Cited in

(30)

• Optimal reinsurance via BSDEs in a partially observable model with jump clusters
• 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
• Portfolio optimization in a default model under full/partial information
• Progressive enlargement of filtrations and backward stochastic differential equations with jumps
• On the utility maximization of the discrepancy between a perceived and market implied risk neutral distribution
• On the compensator of step processes in progressively enlarged filtrations and related control problems
• Forward-backward stochastic differential games and stochastic control under model uncertainty
• Stochastic maximum principle with default
• A pricing defaultable claim model based on exponential utility indifference value process in an incomplete market
• Optimal investment, consumption and proportional reinsurance under model uncertainty
• A BSDE-based approach for the optimal reinsurance problem under partial information
• Recursive backward scheme for the solution of a BSDE with a non Lipschitz generator
• Information and optimal investment in defaultable assets
• Optimal investment and consumption under a continuous-time cointegration model with exponential utility
• Strict local martingales and optimal investment in a Black-Scholes model with a bubble
• BSDEs with polynomial growth generators in a defaultable market
• Optimal self-protection via BSDEs for risk models with jump clusters
• Information uncertainty related to marked random times and optimal investment
• Dynamic investment and counterparty risk
• A continuous-time model of self-protection
• Dynamic robust duality in utility maximization
• Valuation and optimal design to defaultable security
• Partially informed investors: hedging in an incomplete market with default
• Indifference fee rate for variable annuities
• Hedging and utility valuation of a defaultable claim driven by Hawkes processes

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