We consider a two-person trading game in continuous time whereby each player chooses a constant rebalancing rule *b* that he must adhere to over *[0,t]*. If *V_t(b)* denotes the final wealth of the rebalancing rule *b*, then Player 1 (the `numerator player') picks *b* so as to maximize *\mathbb{E}[V_t(b)/V_t(c)]*, while... Show more

October 20, 2022

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Portfolio ManagementGeneral EconomicsTheoretical EconomicsEconomicsGeneral FinanceMathematical Finance

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Game-Theoretic Optimal Portfolios in Continuous Time

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