英文标题：
《Log-optimal portfolio and num\\\'eraire portfolio for market models
stopped at a random time》
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作者：
Tahir Choulli and Sina Yansori
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最新提交年份：
2020
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英文摘要：
This paper focuses on num\\\'eraire portfolio and log-optimal portfolio (portfolio with finite expected utility that maximizes the expected logarithm utility from terminal wealth), when a market model $(S,\\mathbb F)$ -specified by its assets\' price $S$ and its flow of information $\\mathbb F$- is stopped at a random time $\\tau$. This setting covers the areas of credit risk and life insurance, where $\\tau$ represents the default time and the death time respectively. Thus, the progressive enlargement of $\\mathbb F$ with $\\tau$, denoted by $\\mathbb G$, sounds tailor-fit for modelling the new flow of information that incorporates both $\\mathbb F$ and $\\tau$. For the resulting stopped model $(S^{\\tau},\\mathbb G)$, we study the two portfolios in different manners, and describe their computations in terms of the $\\mathbb F$-observable parameters of the pair $(S, \\tau)$.
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中文摘要：
本文重点研究了当一个由资产价格$S$和信息流$mathbb F$指定的市场模型$（S、\\mathbb F）$在随机时间$\\tau$停止时，num \\ \\eraire投资组合和对数最优投资组合（具有有限预期效用的投资组合，最大化终端财富的预期对数效用）。此设置涵盖信用风险和人寿保险领域，其中$\\tau$分别表示默认时间和死亡时间。因此，用$\\mathbb G$表示的$\\mathbb F$与$\\tau$的逐步扩大，听起来非常适合建模包含$\\mathbb F$和$\\tau$的新信息流。对于得到的停止模型$（S^{\\tau}，\\mathbb G）$，我们以不同的方式研究了这两个投资组合，并用对$（S，\\tau）$的$\\mathbb F$-可观测参数描述了它们的计算。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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