STRUCTURE CONDITIONS UNDER PROGRESSIVELY ADDED INFORMATION

摘要

It has been understood that the "local" existence of the Markowitz optimal portfolio or the solution to the local-risk minimization problem is guaranteed by some specific mathematical structures on the underlying assets' price processes known in the literature as "structure conditions." In this paper, we consider a semimartingale market model and an arbitrary random time. This random time may model the default time of a firm, the death time of an insured, or any occurrence time of an event that might somehow impact the market model. By adding additional uncertainty to the market model via this random time, the structure conditions may fail, and hence the Markowitz optimal portfolio and other quadratic-optimal portfolios might fail to exist. Our aim is to investigate the impact of this random time on the structure conditions from different perspectives. Our analysis allows us to conclude that under some mild assumptions on the market model and the random time, the structure conditions remain valid on the one hand. Furthermore, we provide two examples illustrating the importance of these assumptions. On the other hand, we describe the random time models such that these structure conditions are preserved for any market model. These results are elaborated separately for the two contexts of stopping with the random time and incorporating totally a specific class of random times, respectively.