Callegaro, Giorgia; Jeanblanc, Monique; Runggaldier, … - In: Decisions in Economics and Finance 35 (2012) 2, pp. 91-111
We consider the problem of maximization of expected utility from terminal wealth in a market model that is driven by a possibly not fully observable factor process and that takes explicitly into account the possibility of default for the individual assets as well as contagion (direct and...
