An explicit formula for optimal portfolios in complete Wiener driven markets: a functional It\^o calculus approach

Kristoffer Lindensj\"o

Papers from arXiv.org

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.

Date: 2016-10, Revised 2017-12
New Economics Papers: this item is included in nep-upt
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1610.05018

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