Question: In class, to determine the optimal trading strategy, we set the diffusion term in dX t on Slide 16 in Chap2.pdf equal to the diffusion

In class, to determine the optimal trading strategy, we set the diffusion term in dX t on Slide 16 in Chap2.pdf equal to the diffusion term in the dynamic budget constraint (2). Verify that the drift term in dX t on Slide 16 in Chap2.pdf is also the same as in the dynamic budget constraint (2) if t = t = 1 Z tV zz(t, Z t).

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