Log-optimal portfolio after a random time: Existence, description and sensitivity analysis
In this paper, we consider an informational market model with two flows of informations. The smallest flow F, which is available to all agents, is the filtration of the initial market model(S,F,P), where S is the assets' prices and P is a probability measure. The largest flow G contains additional information about the occurrence of a random time T. This setting covers credit risk theory where T models the default time of a firm, and life insurance where T represents the death time of an insured. For the model (S-S^T,G,P), we address the log-optimal portfolio problem in many aspects. In particular, we answer the following questions and beyond: 1) What are the necessary and sufficient conditions for the existence of log-optimal portfolio of the model under consideration? 2) what are the various type of risks induced by T that affect this portfolio and how? 3) What are the factors that completely describe the sensitivity of the log-portfolio to the parameters of T? The answers to these questions and other related discussions definitely complement the work of Choulli and Yansori [12] which deals with the stopped model (S^T,G).
Code (0)
등록된 구현이 없습니다.
Tasks
SensitivitySimilar Papers 제목 키워드 기반
Delegated portfolio management with random default
We are considering the problem of optimal portfolio delegation between an investor and a portfolio manager under a random default time. We focus on a novel variation of the Principal-Agent problem adapted to this framewo…
ManagementStructure conditions under progressively added information
It has been understood that the "local" existence of the Markowitz' optimal portfolio or the solution to the local-risk minimization problem is guaranteed by some specific mathematical structures on the underlying assets…
validOptimal Investment with Random Endowments and Transaction Costs: Duality Theory and Shadow Prices
This paper studies the utility maximization on the terminal wealth with random endowments and proportional transaction costs. To deal with unbounded random payoffs from some illiquid claims, we propose to work with the a…
Before and after default: information and optimal portfolio via anticipating calculus
Default risk calculus plays a crucial role in portfolio optimization when the risky asset is under threat of bankruptcy. However, traditional stochastic control techniques are not applicable in this scenario, and additio…
ManagementPortfolio OptimizationLog-optimal portfolio without NFLVR: existence, complete characterization, and duality
This paper addresses the log-optimal portfolio for a general semimartingale model. The most advanced literature on the topic elaborates existence and characterization of this portfolio under no-free-lunch-with-vanishing-…