Consider an asset St with SDE , where {Bt}, 0tT is standard P Brownian motion. Assume that r is the risk free interest rate and the price of a riskless cash bond is

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Let (mt,nt) be the portfolio consists of mt units of the cash bond and units of the risky asset St at time t. Set (t)=(mt,nt) and set the portfolio at time t be Vt=. Recall that . If =1, find mt so that the trading strategy is self-financing.

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