Multi-Asset Utility Maximization with Jump Signals
arXiv:2607.28051
The paper studies optimal portfolio selection for multiple risky assets driven by Brownian motion and Poisson jumps, incorporating heterogeneous jump signals, and derives optimal strategies via a BSDE with jumps, proving existence and uniqueness and providing numerical examples.
Abstract
In this paper, we study portfolio utility maximization problem in a setting where the risky asset is driven by a multidimensional Brownian motion and an independent homogeneous Poisson random measure, and where strategies may incorporate jump signals. Following the same approach as in the one-dimensional case for the exponential utility function [17], we first represent the portfolio dynamics as semimartingale processes. We then use martingale optimality principle to derive the corresponding backward stochastic differential equation (BSDE) with jumps to characterize both value function and an optimal strategy in terms of its solution. We subsequently prove the existence and uniqueness of the solution to the related BSDE with jumps. We also address the idiosyncratic case i.e where the investor receive heterogeneous jump signals. Finally, we provide numerical illustrations with Gaussian signals for the logarithmic case.