RT Generic
T1 Before and after default: information and optimal portfolio via anticipating calculus
A1 Salmerón Garrido, José Antonio
A1 Nunno, Giulia Di
A1 D'Auria, Bernardo
A2 Universidad Carlos III de Madrid. Departamento de Estadística,
AB Default 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.
SN 2387-0303
YR 2022
FD 2022-07-06
LK https://hdl.handle.net/10016/35411
UL https://hdl.handle.net/10016/35411
LA eng
DS e-Archivo
RD 24 jul. 2024