论文标题
随机时间之后的对数最佳投资组合：存在，描述和灵敏度分析
Log-optimal portfolio after a random time: Existence, description and sensitivity analysis
论文作者
论文摘要
在本文中，我们考虑了一个有两个信息流的信息市场模型。最小的流量F是所有代理使用的，是初始市场模型（S，F，P）的过滤，其中S是资产的价格，P是概率措施。最大的流量G包含有关发生随机时间T的其他信息。此设置涵盖了信用风险理论，其中T对公司的默认时间进行建模，而人寿保险则代表被保险人的死亡时间。对于模型（s-s^t，g，p），我们在许多方面解决了对数最佳的投资组合问题。特别是，我们回答以下问题及以下问题：1）考虑到所考虑的模型的对数最佳投资组合的必要条件是什么？ 2）T会影响该投资组合的t诱导的各种风险是什么？如何？ 3）什么是完全描述对数式型号对T参数的敏感性的因素？这些问题和其他相关讨论的答案无疑与Choulli和Yansori [12]的工作相辅相成，该工作涉及停止模型（S^T，G）。
In this paper, we consider an informational market model with two flows of informations. The smallest flow F, which is available to all agents, is the filtration of the initial market model(S,F,P), where S is the assets' prices and P is a probability measure. The largest flow G contains additional information about the occurrence of a random time T. This setting covers credit risk theory where T models the default time of a firm, and life insurance where T represents the death time of an insured. For the model (S-S^T,G,P), we address the log-optimal portfolio problem in many aspects. In particular, we answer the following questions and beyond: 1) What are the necessary and sufficient conditions for the existence of log-optimal portfolio of the model under consideration? 2) what are the various type of risks induced by T that affect this portfolio and how? 3) What are the factors that completely describe the sensitivity of the log-portfolio to the parameters of T? The answers to these questions and other related discussions definitely complement the work of Choulli and Yansori [12] which deals with the stopped model (S^T,G).
