dynamic investment model under heterogeneous information and probability beliefs:

since the rate of return on different opportunities for investment is random, the optimal distribution of ones capital is put foreward as a stochastic control problem. in this paper, using modem techniques in the theory of random functions and the stochsatic calculus, the problem is discussed for the case when the information possessed by the different investors, as well as their probability beliefs is varied. it is proved that if -the participants could agree an the «impossibility» of events then «mutual funds» could be formed from which every investor could chose a suitable combination according to his information and probability beliefs, so as to maximite his utility function.