Björk, Tomas; Davis, Mark; Landén, Camilla - In: Mathematical Methods of Operations Research 71 (2010) 2, pp. 371-399
We consider the problem of maximizing terminal utility in a model where asset prices are driven by Wiener processes, but where the various rates of returns are allowed to be arbitrary semimartingales. The only information available to the investor is the one generated by the asset prices and, in...
