Modeling and portfolio optimization for stock prices dependent on external events

External events which affect stock prices are modeled in terms of finite state Markov processes, which may jump at scheduled or unscheduled times. Models for stock prices depending on these external events are set up. These stock price models may have price jumps at the occurrence times of the external events. For these types of stock price models the problem of choosing a portfolio policy to maximize the expected utility of the portfolio´s value at a fixed terminal time is considered. Optimal portfolios for the cases of logarithmic and power utility functions are discussed