Consider any T < ∞, and suppose Ct is a marketed date–t payoff, for t =

0,...,T. Show that there exists a wealth process W and portfolio process π such that C, W, and π satisfy Wt+1 = (Wt −Ct)π

tRt+1 (8.26)

for t = 0,...,T −1, and CT = WT. Hint: Add up the wealth processes and take a weighted average ofthe portfolio processes associated withthe individual payoffs.

This result is applied in Section 9.2.