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Cover's Rebalancing Option With Discrete Hindsight Optimization
We study T. Cover’s rebalancing option (Ordentlich and Cover 1998) under discrete hindsight optimization in continuous time. The payoff in question is equal to the final wealth that would have accrued to a $1 deposit into ...
Nash Bargaining Over Margin Loans to Kelly Gamblers
I derive practical formulas for optimal arrangements between sophisticated stock market investors (namely, continuous-time Kelly gamblers or, more generally, CRRA investors) and the brokers who lend them cash for leveraged ...