Before revision:  We provide a detailed numerical analysis showing that the investor increases his stock holdings as the filter probability of being in the high growth regime increases, and decreases his credit risk exposure when the filter probability of being in the high default risk regime gets larger. We find that the investor increases the fraction of overall wealth invested in the risky asset when the information gain coming from receiving price observations is higher .
After revision:  We provide a detailed numerical analysis showing that the investor increases his stock holdings as the filter probability of being in the high growth regime increases, and decreases his credit risk exposure when the filter probability of being in the high default risk regimes gets larger .