Hi there

This is actually my very first thread on this forum and I hope it won't be the last and that I'll have the opportunity to discuss with members around here every now and then !

So I have this project about an article that has been published quite recently on The Annals of Applied Probability about portfolio optimisation and it's driving me a bit crazy since I don't know 90% of stuff it talks about. But I'm also liking the challenge of having a research project going for a year and how I have to search everywhere to understand things.

I've been reading Merton's document about portfolio optimisation and there's a formula that I don't really get. For me, portfolio optimisation means maximizing expected utility and/or wealth but here : Merton-1969.pdf , I don't understand why and how says that choosing an optimal portfolio is equivalent to formula (14), 4th page.

Can someone shed some light on that please ? I couldn't find an answer to that elsewhere.

Thanks !