Deflators and optimal portfolios under random horizon

This paper investigates the impact of a random horizon on the optimal investment/portfolio. This random horizon is a general random time that might represent generally an occurrence time of an event (default time) that... [ view full abstract ]

This paper investigates the impact of a random horizon on the optimal investment/portfolio. This random horizon is a general random time that might represent generally an occurrence time of an event (default time) that might impact the market somehow. In this setting, we address the numeraire portfolio and the utility maximization problem. Due to the duality between the investment strategies and the deflators, our ultimate goal translates on explicitly describing the impact of the random horizon on the optimal deflator. For the log utility, it's completely described. We also address the impact of the random time on the numeraire portfolio.