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.
After revision:  We provide a detailed numerical analysis showing that the investor increases his stock holdings as the filter probability of being in high growth regimes increases, and decreases his credit risk exposure when the filter probability of being in the high default risk regime gets larger.