Risk management and asset allocation with jump-diffusion exogenous risks: Some algebraic approximated solutions

This paper analyses the portfolio problem of an investor who wants to maximize the expected utility of his terminal wealth both in a complete and an incomplete financial market. The investor must cope with two sets of exogenous risks following jump-diffusion processes. Thanks to an approximated solution some rules are provided to follow for hedging portfolio against exogenous risks. Finally, some comparisons with models computing the optimal portfolio in a closed form are carried out in order to check the goodness of our approximation.