Hou, Yuanfeng; Jin, Xiangrong - 2002
(t) > 0 P −a.s. for t ∈ [0,T]
ª
Now the optimization problem the investor faces can be formulated as
max
π(·)∈A(W
0
)
EU …. Following Merton (1971), define the indirect utility
function as
J (W,η,t)= max
{π(s)∈A(W),t≤s≤T}
EU (W
π
(T)|F
t
) (17)
The …