3 citations · 4 across the 10 of their papers we have counts for
5 papers · 1 filter
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…
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…
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…
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…
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…