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