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Consider a GBM economy with stock St and money market fund Rt. The risk-free rate is r, the stock volatility is , and S0=1=R0. Suppose
Consider a GBM economy with stock St and money market fund Rt. The risk-free rate is r, the stock volatility is , and S0=1=R0. Suppose that Vt=tSt+tRt represents a selffinancing portfolio with a rising stock position and with V0=5. Find a formula for the money market position t (it will involve an integral using the stock price process St )
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