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Game-Theoretic Optimal Portfolios for Jump Diffusions

By Alex Garivaltis
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 (1988) in discrete time, the players start by choosing fair randomizations of the initial dollar, by exchanging it for a random... Show more
October 20, 2022
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Game-Theoretic Optimal Portfolios for Jump Diffusions
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