Prove the result in Section 28.5 that when
and $\begin{aligned} d f & =\left[r+\sum_{i=1}^n \lambda_i \sigma_{f, i}\right] f d t+\sum_{i=1}^n \sigma_{f, i} f d z_i \\ d g & =\left[r+\sum_{i=1}^n \lambda_i \sigma_{g, i}\right] g d t+\sum_{i=1}^n \sigma_{g, i} g d z_i\end{aligned}$
with the $d z_i$ uncorrelated, $f / g$ is a martingale for $\lambda_i=\sigma_{g, i}$. (Hint: Start by using equation (14A.11) to get the processes for $\ln f$ and $\ln g$.)