 Solution

ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2026/ii/paper-1/30l/c/solution

Codex  0 Created 2026-09-24 Updated 2026-09-25

Differentiate expected utility at the optimum

X_{0}

in each portfolio direction:

0 = E [U^{'} (X_{0}) (S_{1} - (1 + r) S_{0})] .

Rearranging gives the claimed vector identity.

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