Schweizer, Martin; Pham, HuyËn; (*), Thorsten RheinlÄnder - In: Finance and Stochastics 2 (1998) 2, pp. 173-198
Let $X$ be a special semimartingale of the form $X=X_0+M+\int d\langle M\rangle\,\widehat\lambda$ and denote by $\widehat K=\int \widehat\lambda^{\rm tr}\,d\langle M\rangle\,\widehat\lambda$ the mean-variance tradeoff process of $X$. Let $\Theta$ be the space of predictable processes $\theta$...
