Continuous-Time Dynamic Portfolio Selection Based on Exponential Utility Maximization in an Incomplete Market

A continuous-time dynamic portfolio selection problem is studied in an incomplete market. Explicit form solutions of optimal portfolios are derived in a complete market for exponential utility maximization. According to the relations of the optimal strategy obtained by Zhang in 2007 between in the completed market and in the original incomplete one, we get directly the optimal strategy in the original incomplete market and compare with the one in the sense of power-type utility function.