We study an optimal investment problem under default risk where related information such as loss or recovery at default is considered as an exogenous ran-dom mark added at default time.Two types of agents who have dif...We study an optimal investment problem under default risk where related information such as loss or recovery at default is considered as an exogenous ran-dom mark added at default time.Two types of agents who have different levels of information are considered.We first make precise the insider’s information flow by using the theory of enlargement of filtrations and then obtain explicit logarith-mic utility maximization results to compare optimal wealth for the insider and the ordinary agent.展开更多
文摘We study an optimal investment problem under default risk where related information such as loss or recovery at default is considered as an exogenous ran-dom mark added at default time.Two types of agents who have different levels of information are considered.We first make precise the insider’s information flow by using the theory of enlargement of filtrations and then obtain explicit logarith-mic utility maximization results to compare optimal wealth for the insider and the ordinary agent.
