Nonnegative Wealth Absence of Arbitrage And Feasible Consumption Plans

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Nonnegative Wealth Absence of Arbitrage And Feasible Consumption Plans
Philip H Dybvig
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) In other words, t;„ is the same as v until the cumulative variance of r, in units of the locally riskless bond, equals n, and constant thereafter. Each Vn corresponds to the same portfolio strategy as t)(l) until the integral defining E reaches n, and corresponds to holding only the locally riskless bond afterwards. But this integral is the same as the integral in the integrability condition (2. 25), which is therefore satisfied for the strategy underlying v„ (since the integral is bounded un...iformly by n). Therefore Vn(l) G X. But II(l)

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