Information and optimal investment in defaultable assets
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References listed on IDEAS
- Tomasz Bielecki & Inwon Jang, 2006. "Portfolio optimization with a defaultable security," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 13(2), pages 113-127, June.
- Blanchet-Scalliet, Christophette & El Karoui, Nicole & Jeanblanc, Monique & Martellini, Lionel, 2008. "Optimal investment decisions when time-horizon is uncertain," Journal of Mathematical Economics, Elsevier, vol. 44(11), pages 1100-1113, December.
- Delia Coculescu & Monique Jeanblanc & Ashkan Nikeghbali, 2012. "Default times, no-arbitrage conditions and changes of probability measures," Finance and Stochastics, Springer, vol. 16(3), pages 513-535, July.
- El Karoui, Nicole & Jeanblanc, Monique & Jiao, Ying, 2010. "What happens after a default: The conditional density approach," Stochastic Processes and their Applications, Elsevier, vol. 120(7), pages 1011-1032, July.
- Bruno Bouchard & Huyên Pham, 2004. "Wealth-path dependent utility maximization in incomplete markets," Finance and Stochastics, Springer, vol. 8(4), pages 579-603, November.
- Pham, Huyên, 2010. "Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management," Stochastic Processes and their Applications, Elsevier, vol. 120(9), pages 1795-1820, August.
- repec:dau:papers:123456789/1803 is not listed on IDEAS
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