Question: Solve step by step showing computations (c) Under the following market values i=1%,u=1.035,d=0.975, price of risky asset P0=1, probability of the upward movement pu=0.4, with

Solve step by step showing computations (c) Under the following market

Solve step by step showing computations

(c) Under the following market values i=1%,u=1.035,d=0.975, price of risky asset P0=1, probability of the upward movement pu=0.4, with an initial wealth W0=1000 solve the problem of the optimal portfolio construction with u(x)=x. Use the Martingale Approach

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