We shall address here the optimization problem of an investor who wants to maximize the expected utility from terminal wealth. The novelty of this paper is that the drift process and the driving Brownian motion appearing in the stochastic differential equation for the security prices are not...

In the present paper we address two maximization problems: the maximization of expected total utility from consumption and the maximization of expected utility from terminal wealth. The price process of the available financial assets is assumed to satisfy a system of functional stochastic...