BERND PAPE Asset Allocation, Multivariate Position Based Trading ...

200 ACTA WASAENSIA nBn˙f2 = v B n f2 e α B(n E −n B )/N − e −α B(n E −n B )/N(A8.3d)n E+ v (n f2 + n c1 ) tanh(α(F 2 − C 1 )) − n f2 − n c1cosh(α(F 2 − C 1 ))n f2 + n c1+(n f2 + n c2 ) tanh(α(F 2 − C 2 )) − n f2 − n c2cosh(α(F 2 − C 2 ))n f2 + n c2+(n f2 + n f1 ) tanh(α(F 2 − F 1 )) − n f2 − n f1cosh(α(F 2 − F 1 ))n f2 + n f1In order to fulfil the condition (A8.1) it suffices that all squared brackets above equalzero. That is the case when bothn c1 = n c2 = n f1 = n f2 = n E /4 and n B = n E = N/2, as claimed.