Con preghiera di diffusione tra tutti i possibili interessati, scusandomi per invii multipli.
Cordialmente,
Fulvia Confortola

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Si avvisa che il giorno giovedì 11 maggio 2017 alle ore 11:15 nella Sala Maestrale, Tender, piano -1 del Dipartimento di Matematica (Edificio La Nave) del Politecnico di Milano, Via Bonardi 9, Milano, si terrà il seguente seminario

 

Relatore: Prof. Idris Kharroubi, Università Paris Dauphine.

Titolo: Information uncertainty related to marked random times and optimal investment

Abstract: We study an optimal investment problem under default risk where related information such as loss or recovery at default is considered as an exogenous random mark added at default time. Two types of agents who have different levels of information are considered. We first make precise the insider's information flow by using the theory of enlargement of filtrations and then obtain explicit logarithmic utility maximization results to compare optimal wealth for the insider and the ordinary agent. This talk is based on a joint work with Ying Jiao (Université Lyon I).