Information uncertainty related to marked random times and optimal investment

Ying Jiao and Idris Kharroubi
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Ying Jiao: SAF
Idris Kharroubi: CREST, CEREMADE

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Abstract: We 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. MSC: 60G20, 91G40, 93E20

Date: 2016-07, Revised 2017-03
New Economics Papers: this item is included in nep-ger and nep-upt
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1607.02743

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