On optimal investment with processes of long or negative memory. (arXiv:1608.00768v1 [q-fin.MF])

We consider the problem of utility maximization for investors with power utility functions. Building on the earlier work Larsen et al. (2014), we prove that the value of the problem is a Frechet-differentiable function of the drift of the price process, provided that this drift lies in a suitable Banach space.