Past exam of the mathematics course of the University of Cambridge / 2023 / iii / Paper 211 / 2 / a / Solution

A one-period martingale deflator is a pair $Y_0>0$, $Y_1>0$ such thatIf $Y^0,Y^1$ are deflators and ${\epsilon }_0,{\epsilon }_1>0$, their positive linear combination is strictly positive andIt is therefore another martingale deflator.