Portfolio optimization in a defaultable market under incomplete information

@inproceedings{Callegaro2010PortfolioOI,
  title={Portfolio optimization in a defaultable market under incomplete information},
  author={Giorgia Callegaro and Monique Jeanblanc and Wolfgang J. Runggaldier},
  year={2010}
}
We consider the problem of maximization of expected utility from terminal wealth in a market model that is driven by a possibly not fully observable factor process and that takes explicitly into account the possibility of default for the individual assets as well as contagion (direct and information induced) among them. It is a multinomial model in discrete time that allows for an explicit solution. We discuss the solution within our defaultable and partial information setup, in particular we… CONTINUE READING

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