ANALYSIS AND EVALUATION OF THE EFFECT OF STUDDED TYRES ON ROAD PAVEMENT AND ENVIRONMENT (III)




Nash Bargaining Over Margin Loans to Kelly Gamblers

I derive practical formulas for optimal arrangements between sophisticated stock market investors (continuous-time Kelly gamblers or, more generally, CRRA investors) and the brokers who lend them cash for leveraged bets on a high Sharpe asset (i.e., the market portfolio).Rather than, say, the broker posting a monopoly price for margin loans, the ga

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