A modification of J. M. C. Clark's formula is established for the stochastic integral representation of Wiener functionals under an equivalent (Girsanov) change of probability measure. It is shown how this modified Clark formula leads to the representation of optimal portfolios fora variety of situations in the modern theory of financial economics. Keywords: Clark's formulaWiener functional derivativesoptimal portfoliosSobolev spaces on Wiener space *Supported in Part by NSF Grant DMS-89-03014 †On Leave from Columbia University. Research Supported in Part by the National Science Foundation Under Grany NSF-DMS-87-23078 *Supported in Part by NSF Grant DMS-89-03014 †On Leave from Columbia University. Research Supported in Part by the National Science Foundation Under Grany NSF-DMS-87-23078 Notes *Supported in Part by NSF Grant DMS-89-03014 †On Leave from Columbia University.
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Ocone et al. (1991) studied this question.
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