Before revision:  Finally, we study change-point exponential Levy models, namely we give the conditions for the existence of f-minimal equivalent martingale measure and we obtain a general formula for optimal strategy from point of view of the utility maximization .
After revision:  Finally, we study change-point exponential Levy models, namely we give the conditions for the existence of f-minimal equivalent martingale measure . Using the connection between utility maximisation and f-divergence minimisation, we obtain a general formula for optimal strategy from point of view of the utility maximization .