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Utility maximization in incomplete markets with default

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 نشر من قبل Thomas Lim
 تاريخ النشر 2010
  مجال البحث مالية
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 تأليف Thomas Lim




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We adress the maximization problem of expected utility from terminal wealth. The special feature of this paper is that we consider a financial market where the price process of risky assets can have a default time. Using dynamic programming, we characterize the value function with a backward stochastic differential equation and the optimal portfolio policies. We separately treat the cases of exponential, power and logarithmic utility.



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