Suppose that 0 < 1 + r ≤ d < u. Create a portfolio X0, ∆0 such that: X0 ≤ 0 and X1 ≥ 0 Not all of X0, X1(H), and X1(T ) are equal to zero
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This question seems to be related to financial mathematics, specifically the creation of a portfolio in a binomial model. However, the question is incomplete. It doesn't specify what the portfolio should replicate or any other specific conditions.
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