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August 29th, 2013, 09:22 AM   #1
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Portfolio problem

Hello.

I'm having a problem with a step in a remark in the book 'Methods of mathematical finance' by Karatzas and Shreve.

In page 126, in remark 8.7 it reads that in a certain situation, and that the portfolio must be such that , where are called subsistence consumption and subsistance terminal wealth. And this results in expected utility . This part is fin for me. But then, they say that under assumption 8.1 in page 119, the portfolio that gives this result is , and I have no idea how the assumption implies this!

Can someone give a look and help me?
Filipe Martins is offline  
 
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