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Let NEWLINE\\[NEWLINEZ^{\\theta}(t,\\omega)= {\\alpha}(t)A(t)+{\\beta(t)S(t)}NEWLINE\\]NEWLINE be the value process corresponding to this portfolio. The strategy \\({\\theta}\\) is supposed to be self-financing and admissible, with a given initial value \\(z>0\\). The authors solve the problem to find \\(V(z)\\) and \\({{\\theta}^{\\ast}}{\\in}{\\mathcal A}\\) such that NEWLINE\\[NEWLINEV(z)= \\sup_{\\theta\\in\\mathcal A}E^{z}\\left[u \\left(z^\\theta(T) \\right) \\right]= E^{x}\\left[u\\left(z^{\\theta^\\ast}(T) \\right) \\right]NEWLINE\\]NEWLINE with utility function \\(u(x)={\\gamma}^{-1} x^{\\gamma}\\). It is explained in detail how the martingale approach of Cox and Huang can be used to solve this problem for an It\u00f4 type Black \\& Scholes market with Hurst parameter \\(H>0,5\\). The explicit values of \\(V(z)\\) and \\({\\theta}^{\\ast}\\) are presented. 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