2018/10/26 by Tahir Choulli, Choulli, Tahir, Sina Yansori +1
Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #Economic theories and models #FOS: Economics and business #Financial Markets and Investment Strategies #Mathematical Finance (q-fin.MF) #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.1810.12762
openalex publication_date 2018/10/26 · openalex created_date 2022/08/02 · openalex updated_date 2026/07/28
This paper focuses on num 'eraire portfolio and log-optimal portfolio\n(portfolio with finite expected utility that maximizes the expected logarithm\nutility from terminal wealth), when a market model (S, mathbb F) -specified\nby its assets' price S and its flow of information mathbb F- is stopped at\na random time \τ. This setting covers the areas of credit risk and life\ninsurance, where \τ represents the default time and the death time\nrespectively. Thus, the progressive enlargement of mathbb F with \τ,\ndenoted by mathbb G, sounds tailor-fit for modelling the new flow of\ninformation that incorporates both mathbb F and \τ. For the resulting\nstopped model (S\τ, mathbb G), we study the two portfolios in different\nmanners, and describe their computations in terms of the mathbb F-observable\nparameters of the pair (S, \τ).\n