Suppose that the processes for S1 and S2 are given by these two equations: dS 1 = 1 S 1 dt + 1

Suppose that the processes for S1 and S2 are given by these two equations:

dS₁= α₁S₁dt + σ₁S₁dZ₁

dS₂ = α₂S₂dt + σ₂S₂dZ₂

The diffusions dZ₁ and dZ₂ are different. In this problem we want to find the expected return on Q, α_Q, where Q follows the process

dQ = α_QQdt + Qη₁dZ₁+ η₂dZ₂

Show that, to avoid arbitrage,

I Cr