We consider a two-person trading game in continuous time where each player chooses a
constant rebalancing rule b that he must adhere to over [0, t]. If $$V_t(b)$$ V t ( b ) denotes the …

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 …

… with Garivaltis 2019) will compound his capital at the same asymptotic rate as the best
unlevered rebalancing rule in hindsight. Indeed, the final excess continuously compounded …

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 (…

This paper prices and replicates the financial derivative whose payoff at $T$ is the wealth
that would have accrued to a $\$1$ deposit into the best continuously-rebalanced portfolio (or …

I derive practical formulas for optimal arrangements between sophisticated stock market
investors (continuous-time Kelly gamblers or, more generally, CRRA investors) and the brokers …

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 very …

… Whereas Ordentlich and Cover only considered Dirichlet or Beta distributions over the
portfolio simplex, we derived a new and interesting family of “Garivaltis priors” that are pa…

To protect his teaching evaluations, an economics professor uses the following exam curve:
if the class average falls below a known target, $m$, then all students will receive an equal …

This thesis has three chapters. Chapter 1 concentrates on a family of sequential portfolio
selection algorithms called multilinear trading strategies. A multilinear strategy is characterized …