We take into account: (i) a set of stochastic investment opportunities, (ii) a set of risky assets, (iii) a stochastic riskless interest rate, (iv) stochastic labour incomes, and (v) HARA preferences. Without specifying any particular functional form for drifts and diffusions of all the...

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...