My Math Forum Portfolio problem

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 August 29th, 2013, 09:22 AM #1 Newbie   Joined: Aug 2013 From: Porto, Portugal Posts: 4 Thanks: 0 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, $c(t)=\bar{c}(t)$ and that the portfolio $\pi$ must be such that $X(T)=\bar{x}$, where $\bar{c} and \bar{x}$ are called subsistence consumption and subsistance terminal wealth. And this results in expected utility $\int_0^T U_1(t,\bar{c}(t))dt+U_2(\bar{x})$. 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 $\pi= 0$, and I have no idea how the assumption implies this! Can someone give a look and help me?

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