Suppose V is a self-financing wealth process with risky asset price S = S1/S2 and money market
Question:
Suppose V∗ is a self-financing wealth process with risky asset price S∗ =
S1/S2 and money market price R∗ = 1, meaning dV∗
V∗ = π∗ dS∗
S∗ + (1−π∗
)
dR∗
R∗
for some π∗. Define V = S2V∗. Show that V is a self-financing wealth process with risky asset prices S1 and S2 and no money market account.
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