On the two-times differentiability of the value functions in the problem of optimal investment in incomplete markets (Q862209)

The paper continues the investigation by \textit{D. Kramkov} and \textit{W. Schachermayer} [Ann. Appl. Probab. 13, 904--950 (1999; Zbl 0967.91017)] of a security market, which consists of one bond and a finite number of stocks. The price of the bond is constant and the price process of the stocks is assumed a semimartingale on a probability space with a finite time horizon. The main objects are the value functions of the expected utility maximization in the incomplete market and of its dual problem. The auxiliary objects are the arguments of these extreme problems. The first of the arguments is the wealth process. The conditions providing the two-times differentiability of the value functions and the differentiability of the arguments are that the relative risk aversion coefficient of the utility function is uniformly bounded away from zero and infinity, and that the prices of traded securities are sigma-bounded under the numeraire given by the optimal wealth process.