Show simple item record

dc.contributor.authorJiao, Ying
dc.contributor.authorKharroubi, Idris
dc.date.accessioned2018-01-12T09:25:06Z
dc.date.available2018-01-12T09:25:06Z
dc.date.issued2018
dc.identifier.issn2367-0126
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/17282
dc.language.isoenen
dc.subjectinformation uncertainty
dc.subjectmarked random times
dc.subjectenlargement of filtrations
dc.subjectutility maximization
dc.subject.ddc519en
dc.titleInformation uncertainty related to marked random times and optimal investment
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe 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.
dc.relation.isversionofjnlnameProbability, Uncertainty and Quantitative Risk
dc.relation.isversionofjnlvol3
dc.relation.isversionofjnlissue3
dc.relation.isversionofjnldate2018
dc.relation.isversionofdoi10.1186/s41546-018-0029-8
dc.identifier.urlsitehttps://hal.archives-ouvertes.fr/hal-01343702
dc.relation.isversionofjnlpublisherSpringer
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.description.ssrncandidatenon
dc.description.halcandidatenon
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
dc.date.updated2018-07-19T12:22:18Z
hal.person.labIds38701
hal.person.labIds60$$$2579


Files in this item

FilesSizeFormatView

There are no files associated with this item.

This item appears in the following Collection(s)

Show simple item record