most citedRebalancing-versus-Rebalancing: Improving the fidelity of Loss-versus-Rebalancing

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q-fin.MF2026

Riemannian Geometry of Optimal Rebalancing in Dynamic Weight Automated Market Makers

Matthew Willetts

We show that when a dynamic-weight AMM rebalances by creating arbitrage opportunities, the per-step log loss is the KL divergence between successive weight vectors. The Fisher-Rao…