Before revision: In the framework of an incomplete financial market where the stock price dynamics are modeled by a continuous semimartingale , an explicit first-order expansion formula for the power investor's value function - seen as a function of the underlying market price of risk process - is provided and its second-order error is quantified .
After revision: In the framework of an incomplete financial market where the stock price dynamics are modeled by a continuous semimartingale , an explicit first-order expansion formula for the power investor's value function - seen as a function of the underlying market price of risk process - is provided . This allows us to provide first-order approximations of the optimal primal and dual controls .