This paper considers a portfolio optimization problem in which asset prices are represented
by SDEs driven by Brownian motion and a Poisson random measure, with drifts that are
functions of an auxiliary diffusion factor process. The criterion, following earlier work by
Bielecki, Pliska, Nagai, and others, is risk-sensitive optimization (equivalent to maximizing
the expected growth rate subject to a constraint on variance). By using a change of measure
technique introduced by Kuroda and Nagai we show that the problem reduces to solving a …

This paper considers a portfolio optimization problem in which asset prices are represented
by SDEs driven by Brownian motion and a Poisson random measure, with drifts that are
functions of an auxiliary diffusion'factor'process. The criterion, following earlier work by
Bielecki, Pliska, Nagai and others, is risk-sensitive optimization (equivalent to maximizing
the expected growth rate subject to a constraint on variance.) By using a change of measure
technique introduced by Kuroda and Nagai we show that the problem reduces to solving a …