Consider an investor who does not consume or work to earn any labour income. All she does is invest her financial wealth in N +1 assets. The first asset is risk-free with return rudt over the interval [t, t + dt). The remaining N assets are risky and risky asset n E {1,...,N} has return dRnt, where dRn,t = Min, tdt ton,tdZn,t. Zn is a standard Brownian motion under the physical probability measure P, such that Et[dZi,tdZ;,t] = Pij,tdt for i #j. The investor invests the fraction on,t of her date-t wealth in risky asset n. (a) Explain why the return on the investor's portfolio over the interval [t, t + dt) is given by digo: = (1-one) dr + onudbine n = 1 n=1 Consider an investor who does not consume or work to earn any labour income. All she does is invest her financial wealth in N +1 assets. The first asset is risk-free with return rudt over the interval [t, t + dt). The remaining N assets are risky and risky asset n E {1,...,N} has return dRnt, where dRn,t = Min, tdt ton,tdZn,t. Zn is a standard Brownian motion under the physical probability measure P, such that Et[dZi,tdZ;,t] = Pij,tdt for i #j. The investor invests the fraction on,t of her date-t wealth in risky asset n. (a) Explain why the return on the investor's portfolio over the interval [t, t + dt) is given by digo: = (1-one) dr + onudbine n = 1 n=1