3 citations · 4 across the 10 of their papers we have counts for
16 papers
Recursive Overbetting of a Satellite Investment Account
Alex Garivaltis
This paper builds a core-satellite model of semi-static Kelly betting and log-optimal investment. We study the problem of a saver whose core portfolio consists in unlevered (1x) re…
Grade Inflation and Stunted Effort in a Curved Economics Course
Alex Garivaltis
To protect his teaching evaluations, an economics professor uses the following exam curve: if the class average falls below a known target, , then all students will receive an e…
Waiting to Borrow From a 457(b) Plan
Alex Garivaltis
This paper formulates and solves the optimal stopping problem for a loan made to one's self from a tax-advantaged retirement account such as a 401(k), 403(b), or 457(b) plan. If th…
Rational Pricing of Leveraged ETF Expense Ratios
Alex Garivaltis
This paper studies the general relationship between the gearing ratio of a Leveraged ETF and its corresponding expense ratio, viz., the investment management fees that are charged…
Universal Risk Budgeting
Alex Garivaltis
I juxtapose Cover's vaunted universal portfolio selection algorithm (Cover 1991) with the modern representation (Qian 2016; Roncalli 2013) of a portfolio as a certain allocation of…
A Note on Universal Bilinear Portfolios
Alex Garivaltis
This note provides a neat and enjoyable expansion and application of the magnificent Ordentlich-Cover theory of "universal portfolios." I generalize Cover's benchmark of the best c…
Long Run Feedback in the Broker Call Money Market
Alex Garivaltis
I unravel the basic long run dynamics of the broker call money market, which is the pile of cash that funds margin loans to retail clients (read: continuous time Kelly gamblers). C…
Game-Theoretic Optimal Portfolios in Continuous Time
Alex Garivaltis
We consider a two-person trading game in continuous time whereby each player chooses a constant rebalancing rule that he must adhere to over . If denotes the fi…
Two Resolutions of the Margin Loan Pricing Puzzle
Alex Garivaltis
This paper supplies two possible resolutions of Fortune's (2000) margin-loan pricing puzzle. Fortune (2000) noted that the margin loan interest rates charged by stock brokers are v…
The Laws of Motion of the Broker Call Rate in the United States
Alex Garivaltis
In this paper, which is the third installment of the author's trilogy on margin loan pricing, we analyze monthly observations of the U.S. broker call money rate, which is t…
Nash Bargaining Over Margin Loans to Kelly Gamblers
Alex Garivaltis
I derive practical formulas for optimal arrangements between sophisticated stock market investors (namely, continuous-time Kelly gamblers or, more generally, CRRA investors) and th…
Cover's Rebalancing Option With Discrete Hindsight Optimization
Alex Garivaltis
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 tha…
Game-Theoretic Optimal Portfolios for Jump Diffusions
Alex Garivaltis
This paper studies a two-person trading game in continuous time that generalizes Garivaltis (2018) to allow for stock prices that both jump and diffuse. Analogous to Bell and Cover…
Exact Replication of the Best Rebalancing Rule in Hindsight
Alex Garivaltis
This paper prices and replicates the financial derivative whose payoff at is the wealth that would have accrued to a deposit into the best continuously-rebalanced portfol…
Multilinear Superhedging of Lookback Options
Alex Garivaltis
In a pathbreaking paper, Cover and Ordentlich (1998) solved a max-min portfolio game between a trader (who picks an entire trading algorithm, ) and "nature," who picks th…
Super-Replication of the Best Pairs Trade in Hindsight
Alex Garivaltis
This paper derives a robust on-line equity trading algorithm that achieves the greatest possible percentage of the final wealth of the best pairs rebalancing rule in hindsight. A p…