Publication:
Before and after default: information and optimal portfolio via anticipating calculus

dc.affiliation.dptoUC3M. Departamento de Estadísticaes
dc.contributor.authorSalmerón Garrido, José Antonio
dc.contributor.authorNunno, Giulia Di
dc.contributor.authorD'Auria, Bernardo
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de Estadísticaes
dc.date.accessioned2022-07-06T15:09:06Z
dc.date.available2022-07-06T15:09:06Z
dc.date.issued2022-07-06
dc.description.abstractDefault risk calculus emerges naturally in a portfolio optimization problem whenthe risky asset is threatened with a bankruptcy. The usual stochastic control techniques do not hold in this case and some additional assumptions are generally added to achieve the optimization in a before-and-after default context. We show how it is possible to avoid one of theses restrictive assumptions, the so-called Jacod density hypothesis, by using the framework of the forward integration. In particular, in the logarithmic utility case, in order to get the optimal portfolio the right condition it is proved to be the intensity hypothesis. We use the anticipating calculus to analyze the existence of the optimal portfolio for the logarithmic utility, and than under the assumption of existence of the optimal portfolio we prove the semimartingale decomposition of the risky asset in the filtration enlarged with the default process.en
dc.identifier.issn2387-0303es
dc.identifier.urihttps://hdl.handle.net/10016/35411
dc.identifier.uxxiDT/0000002007es
dc.language.isoenges
dc.relation.ispartofseriesWorking paper Statistics and Econometricses
dc.relation.ispartofseries22-05
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/*
dc.subject.ecienciaEstadísticaes
dc.subject.otherOptimal Portfolioen
dc.subject.otherDefault Risken
dc.subject.otherProgressive Enlargementen
dc.subject.otherForward Integralsen
dc.subject.otherMalliavin Calculusen
dc.titleBefore and after default: information and optimal portfolio via anticipating calculusen
dc.typeworking paper*
dspace.entity.typePublication
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