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SIAM Journal on Control and Optimization, Vol.50, No.1, 583-599, 2012
A MARTINGALE APPROACH TO OPTIMAL PORTFOLIOS WITH JUMP-DIFFUSIONS
This paper investigates optimal investment-consumption strategies that maximize the expected utility of consumption and/or terminal wealth under jump-diffusion models using a martingale method. We characterize the optimal trading strategy and the optimal martingale measure in terms of a system of equations and obtain explicit solutions for the power and logarithmic utility case.