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

@inproceedings{Salmeron2022BeforeAA, title={Before and after default: information and optimal portfolio via anticipating calculus}, author={Jos'e A. Salmer'on and Giulia Di Nunno and Bernardo D'Auria}, year={2022} }

Default risk calculus emerges naturally in a portfolio optimization problem when the risky asset is threatened with a bankruptcy. The usual stochastic control tech-niques 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…

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