Portfolio optimization in a default model under full/partial information
type: Dataset
description: In this paper, we consider a financial market with assets exposed to some risks inducing jumps in the asset prices, and which can still be traded after default times. We use a default-intensity modeling approach, and address in this incomplete market context the problem of maximization of expected utility from terminal wealth for logarithmic, power and exponential utility functions. We study this problem as a stochastic control problem both under full and partial information. Our contribution consists in showing that the optimal strategy can be obtained by a direct approach for the logarithmic utility function, and the value function for the power utility function can be determined as the minimal solution of a backward stochastic differential equation. For the partial information case, we show how the problem can be divided into two problems: a filtering problem and an optimization problem. We also study the indifference pricing approach to evaluate the price of a contingent claim in an incomplete market and the information price for an agent with insider information.
issued: 2026-05-08T03:35:34.968013
language: en
modified: 2026-05-08T03:35:34.968017
contact point: Organization
  fn: CCSD
keyword: backward-stochastic-differential-equation
keyword: default-intensity
keyword: default-time
keyword: dynamic-programming-principle
keyword: exponential-utility
keyword: filtering
keyword: indifference-price
keyword: infoeu-reposemanticspreprint
keyword: information-pricing
keyword: logarithmic-utility
keyword: mathmath-ocmathematics-mathoptimization-and-control-mathoc
keyword: optimal-investment
keyword: power-utility
keyword: preprints-working-papers-
keyword: qfincpquantitative-finance-q-fincomputational-finance-q-fincp
keyword: qfinprquantitative-finance-q-finpricing-of-securities-q-finpr
landing page: https://hal.science/hal-00468072

Portfolio optimization in a default model under full/partial information
type: Distribution
format: HTML
issued: 2026-05-08T03:35:34.996669
modified: 2026-05-08T03:35:34.950251
access URL: https://hal.science/hal-00468072

test_moissonnage_selune
type: Agent