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arXiv · 1610.05018

An explicit formula for optimal portfolios in complete Wiener driven markets: a functional Itô calculus approach

Kristoffer Lindensjö
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Abstract

We consider a standard optimal investment problem in a complete financial market driven by a Wiener process and derive an explicit formula for the optimal portfolio process in terms of the vertical derivative from functional It^o calculus. An advantage with this approach compared to the Malliavin calculus approach is that it relies only on an integrability condition.

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Kristoffer Lindensjö. 2017-12-29. An explicit formula for optimal portfolios in complete Wiener driven markets: a functional Itô calculus approach. https://arxiv.org/abs/1610.05018

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