An explicit formula for optimal portfolios in complete Wiener driven markets: a functional Itô calculus approach
arXiv:1610.05018
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.