  This paper provides a new version of the condition of Di Nunno et al. (2003),
Ankirchner and Imkeller (2005) and Biagini and \{O}ksendal (2005) ensuring the
semimartingale property for a large class of continuous stochastic processes.
Unlike our predecessors, we base our modeling framework on the concept of
portfolio proportions which yields a short self-contained proof of the main
theorem, as well as a counterexample, showing that analogues of our results do
not hold in the discontinuous setting.
