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Utility maximization in incomplete markets with default

Abstract : 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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Preprints, Working Papers, ...
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Contributor : Thomas Lim <>
Submitted on : Friday, July 9, 2010 - 6:56:51 PM
Last modification on : Wednesday, December 9, 2020 - 3:17:11 PM
Long-term archiving on: : Monday, October 11, 2010 - 10:08:36 AM


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  • HAL Id : hal-00342531, version 3
  • ARXIV : 0811.4715


Thomas Lim, Marie-Claire Quenez. Utility maximization in incomplete markets with default. 2008. ⟨hal-00342531v3⟩



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