Optimal portfolio for HARA utility functions in a pure jump multidimensional incomplete market
by Giorgia Callegaro, Tiziano Vargiolu
International Journal of Risk Assessment and Management (IJRAM), Vol. 11, No. 1/2, 2009

Abstract: In this paper, we analyse a pure jump incomplete market where the risky assets can jump upwards or downwards. In this market we show that, when an investor wants to maximise a HARA utility function of his/her terminal wealth, his/her optimal strategy consists of keeping constant proportions of wealth in the risky assets, thus extending the classical Merton result to this market. Finally, we compare our results with the classical ones in the diffusion case in terms of scalar dependence of portfolio proportions on the risk-aversion coefficient.

Online publication date: Mon, 22-Dec-2008

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