摘要翻译：
在本文中，我们考虑了一个金融市场，它的资产暴露在一些风险中，导致资产价格的跳跃，并且在违约时间之后仍然可以交易。本文采用缺省强度建模方法，研究了在不完全市场环境下，对数、幂和指数效用函数的终端财富期望效用最大化问题。在完全信息和部分信息下，我们将该问题作为随机控制问题来研究。我们的贡献在于证明了对数效用函数的直接逼近可以得到最优策略，而幂效用函数的值函数可以确定为倒向随机微分方程的最小解。对于部分信息的情况，我们展示了如何将问题分解为两个问题：过滤问题和优化问题。本文还研究了不完全市场中未定权益价格的无差异定价方法，以及具有内幕信息的代理人的信息价格。
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英文标题：
《Portfolio optimization in a default model under full/partial information》
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作者：
Thomas Lim (ENSIIE, D\'epartement de math\'ematiques), Marie-Claire
  Quenez (LPMA)
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最新提交年份：
2013
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Mathematics        数学
二级分类：Optimization and Control        优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要：
  In this paper, we consider a financial market with assets exposed to some risks inducing jumps in the asset prices, and which can still be traded after default times. We use a default-intensity modeling approach, and address in this incomplete market context the problem of maximization of expected utility from terminal wealth for logarithmic, power and exponential utility functions. We study this problem as a stochastic control problem both under full and partial information. Our contribution consists in showing that the optimal strategy can be obtained by a direct approach for the logarithmic utility function, and the value function for the power utility function can be determined as the minimal solution of a backward stochastic differential equation. For the partial information case, we show how the problem can be divided into two problems: a filtering problem and an optimization problem. We also study the indifference pricing approach to evaluate the price of a contingent claim in an incomplete market and the information price for an agent with insider information.
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PDF链接：
https://arxiv.org/pdf/1003.6002