Before revision:  In this paper we consider markets modeled by It\^o-L\'evy processes , and in the first part we give a new proof of the above result in this setting, based on the maximum principle in stochastic control theory . An advantage with our approach is that it also gives\emph{ [  an explicit relation between the optimal portfolio \varphi^* and the optimal measure Q^* , in terms of backward stochastic differential equations .
After revision:  In this paper we consider markets modeled by It\^o-L\'evy processes , and in the first part we give a new proof of the above result in this setting, based on the maximum principle in stochastic control theory to extend the above relation to a\emph{ [ an explicit relation between the optimal portfolio \varphi^* and the optimal measure Q^* , in terms of backward stochastic differential equations .