A new decomposition of the optimal portfolio, in dynamic models with von Neumann--Morgenstern preferences and Ito prices, is established. The formula rests on a change of numéraire that uses pure discount bonds as units of account. The dynamic hedging demand has two components. The first hedge...

This paper derives and analyzes dynamic timing strategies of a fund manager with private information. Endogenous timing strategies generated by various information structures and skills, and associated fund styles, are identified. Endogenous fund returns are characterized in the public...