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 broke...
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| Format: | Article |
| Language: | English |
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MDPI AG
2019-08-01
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| Series: | Risks |
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| Online Access: | https://www.mdpi.com/2227-9091/7/3/93 |