caa a22 4500 445363266 CHVBK 20180317142921.0 cr unu---uuuuu 170323e20111201xx s 000 0 eng 10.1007/s00780-010-0140-x doi (NATIONALLICENCE)springer-10.1007/s00780-010-0140-x Optimal investment with counterparty risk: adefault-density model approach [Elektronische Daten] [Ying Jiao, Huyên Pham] We consider a financial market with a stock exposed to a counterparty risk inducing a jump in the price, and which can still be traded after this default time. The jump represents a loss or gain of the asset value at the default of the counterparty. We use a default-density modelling approach, and address in this incomplete market context the problem of expected utility maximization from terminal wealth. We show how this problem can be suitably decomposed in two optimization problems in a default-free framework: an after-default utility maximization and a global before-default optimization problem involving the former one. These two optimization problems are solved explicitly, respectively, by duality and dynamic programming approaches, and provide a detailed description of the optimal strategy. We give some numerical results illustrating the impact of counterparty risk and the loss or gain given default on optimal trading strategies, in particular with respect to the Merton portfolio selection problem. For example, this explains how an investor can take advantage of a large loss of the asset value at default in extreme situations as observed during the financial crisis. Springer-Verlag, 2010 Counterparty risk nationallicence Contagious loss or gain nationallicence Density of default time nationallicence Optimal investment nationallicence Duality nationallicence Dynamic programming nationallicence Backward stochastic differential equation (BSDE) nationallicence Jiao Ying Laboratoire de Probabilités et Modèles Aléatoires, CNRS, UMR 7599, Université Paris 7, Paris, France aut Pham Huyên Laboratoire de Probabilités et Modèles Aléatoires, CNRS, UMR 7599, Université Paris 7, Paris, France aut Finance and Stochastics Springer-Verlag 15/4(2011-12-01), 725-753 0949-2984 15:4<725 2011 15 780 https://doi.org/10.1007/s00780-010-0140-x text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s00780-010-0140-x text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Jiao Ying Laboratoire de Probabilités et Modèles Aléatoires, CNRS, UMR 7599, Université Paris 7, Paris, France aut NATIONALLICENCE 700 1- Pham Huyên Laboratoire de Probabilités et Modèles Aléatoires, CNRS, UMR 7599, Université Paris 7, Paris, France aut NATIONALLICENCE 773 0- Finance and Stochastics Springer-Verlag 15/4(2011-12-01), 725-753 0949-2984 15:4<725 2011 15 780 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer