Optimal portfolios for exponential Lévy processes. (Q1403170)

This paper is mainly concerned with solving an expected utility maximization problems using the duality theory and martingale approach. The author investigates the optimization problem under the assumption that the log-prices follow a Lévy process. Explicit solutions are given in the case of logarithmic, power and exponential utility functions in terms of the Lévy-Khintchine triplet.