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q-fin.MF2026
Competition between DEXs through Dynamic Fees
Leonardo Baggiani, Martin Herdegen, Leandro Sanchez-Betancourt
We find an approximate Nash equilibrium in a game between decentralized exchanges (DEXs) that compete for order flow by setting dynamic trading fees. We characterize the equilibriu…
q-fin.MF2025
The Interplay between Utility and Risk in Portfolio Selection
Leonardo Baggiani, Martin Herdegen, Nazem Khan
We revisit the problem of portfolio selection, where an investor maximizes utility subject to a risk constraint. Our framework is very general and accommodates a wide range of util…