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Garivaltis, A.
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Garivaltis, A.
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1
The laws of motion of the broker call rate in the United States
by
Garivaltis
,
A
.
Published 2019
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2
Nash bargaining over margin loans to Kelly Gamblers
by
Garivaltis
,
A
.
Published 2019
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3
Exact replication of the best rebalancing rule in hindsight
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Garivaltis
,
A
.
Published 2019
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4
Two resolutions of the margin loan pricing puzzle
by
Garivaltis
,
A
.
Published 2019
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Related Subjects
Margin loans
Arbitrage pricing
Net interest margin
Broker call rate
Call money rate
Continuous-time Kelly rule
Continuously-rebalanced portfolios
Interest margin
Kelly betting
Kelly criterion
Log-optimal portfolios
Mean-reverting processes
Monopoly pricing
Nash bargaining
Risk premium
Super-hedging
Vasicek model
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