Game-Theoretic Optimal Portfolios in Continuous Time

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