Risk and reeturn

| December 8, 2015

consider A portfolio ( (Z^{o}(t),Z(t)) ) consisting of one risk-free asset and one risky asset how can i show that if the portfolio is self financing and

(dZ^{o}(t)=0) then (d(Z(t).S(t)=Z(t).dS(t)) where

(Z^{0}{(t)}=B(t)^{-1}(v_{0}+int_{0}^{t}Z_{u}^{T_{}}dS_{u}+int_{0}^{t}Z^{o}_{u}dB_{u}-Z_{t}S_{t})

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Category: Finance

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