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Exercise 3.6. Consider Problem 3.3.1 in an N-period binomial model with the utility function U(x)=lnx. Show that the optimal wealth process corresponding to the optimal
Exercise 3.6. Consider Problem 3.3.1 in an N-period binomial model with the utility function U(x)=lnx. Show that the optimal wealth process corresponding to the optimal portfolio process is given by Xn=nX0,n= 0,1,,N, where n is the state price density process defined in (3.2.7)
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