Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Log-optimal portfolio and num\'eraire portfolio for market models
  stopped at a random time   This paper focuses on num\'eraire portfolio and log-optimal portfolio
(portfolio with finite expected utility that maximizes the expected logarithm
utility from terminal wealth), when a market model $(S,\mathbb F)$ -specified
by its assets' price $S$ and its flow of information $\mathbb F$- is stopped at
a random time $\tau$. This setting covers the areas of credit risk and life
insurance, where $\tau$ represents the default time and the death time
respectively. Thus, the progressive enlargement of $\mathbb F$ with $\tau$,
denoted by $\mathbb G$, sounds tailor-fit for modelling the new flow of
information that incorporates both $\mathbb F$ and $\tau$. For the resulting
stopped model $(S^{\tau},\mathbb G)$, we study the two portfolios in different
manners, and describe their computations in terms of the $\mathbb F$-observable
parameters of the pair $(S, \tau)$.

37
The categories of this paper are: supr-con
32
The categories of this paper are: atom-ph
28
The categories of this paper are: alg-geom
35
The categories of this paper are: mtrl-th
6
The categories of this paper are: astro-ph
22
The categories of this paper are: chao-dyn
15
The categories of this paper are: nucl-ex
2
The categories of this paper are: math
9
The categories of this paper are: nlin
14
The categories of this paper are: math-ph
11
The categories of this paper are: hep-lat
20
The categories of this paper are: acc-phys
1
The categories of this paper are: cs
27
The categories of this paper are: comp-gas
3
The categories of this paper are: physics
26
The categories of this paper are: bayes-an