An explicit formula for optimal portfolios in complete Wiener driven markets: a functional It\^o calculus approach
classification
💱 q-fin.MF
keywords
approachcalculusoptimalcompletedrivenexplicitformulafunctional
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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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