We consider the continuous-time portfolio optimization problem of an investor with constant relative risk aversion who maximizes expected utility of terminal wealth. The risky asset follows a jump-diffusion model with a diffusion state variable. We propose an approximation method that replaces...

Incomplete markets provide many challenges for both investment decisions and valuationproblems. While both problems have received extensive attention in complete markets,there remain many open areas in the theory of incomplete markets. We present the resultsin three parts. In the first essay we...