Aase, Knut K.; Øksendal, Bernt - In: Stochastic Processes and their Applications 30 (1988) 2, pp. 291-301
We consider a situation where relative prices of assets may change continuously and also have discrete jumps at random time points. The problem is the one of portfolio optimization. If the utility function used is the logarithm, we first argue that an optimal investment plan exists. Secondly, we...