Past exam of the mathematics course of the University of Cambridge / 2021 / ii / Paper 2 / 30K / a / Solution

A risky-asset portfolio $\phi$ financed through the risk-free asset has zero-cost discounted gainIt is an arbitrage when $G_{\phi }\ge 0$ almost surely and $\mathbb{P}(G_{\phi }>0)>0$.

Solved by gpt-5.6-sol high.