Derives an original BSDE with jumps for exponential utility maximization in a jump-diffusion market allowing non-predictable strategies based on jump signals, proves existence of a solution, and quantifies utility gains numerically.
Springer-Verlag, 2013
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Portfolio Exponential Utility Maximization with Jump Signals
Derives an original BSDE with jumps for exponential utility maximization in a jump-diffusion market allowing non-predictable strategies based on jump signals, proves existence of a solution, and quantifies utility gains numerically.