纳什讨价还价的保证金贷款给凯利赌徒-经管之家官网！

摘要翻译：
我推导出经验丰富的股票市场投资者（即连续时间凯利赌徒，或更一般的CRRA投资者）与借给他们现金进行高夏普资产（即市场投资组合）杠杆式押注的经纪人之间最优安排的实用公式。比方说，经纪人公布保证金贷款的垄断价格，赌徒同意使用比他否则会使用的更多的保证金债务，以换取低于经纪人否则会公布的利率。因此，赌徒获得了更高的渐近资本增长率，而经纪人享有比不合作下更高的中介利润率。如果威胁点代表了谈判的恶性破裂（导致零保证金贷款），那么我们得到了一个优雅的经验法则:$R_L^*=(3/4)R+(1/4)(\nu-\sigma^2/2)$，其中$R$是经纪人的资金成本，$\nu$是市场指数的复合年增长率，$\sigma$是年度波动率。我们表明，不管特定的威胁点，赌徒会协商确定他的赌注大小，就像他自己可以按照经纪人的通知利率借款一样。
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英文标题：
《Nash Bargaining Over Margin Loans to Kelly Gamblers》
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作者：
Alex Garivaltis
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最新提交年份：
2019
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分类信息：
一级分类：Economics 经济学
二级分类：General Economics 一般经济学
分类描述：General methodological, applied, and empirical contributions to economics.
对经济学的一般方法、应用和经验贡献。
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一级分类：Economics 经济学
二级分类：Theoretical Economics 理论经济学
分类描述：Includes theoretical contributions to Contract Theory, Decision Theory, Game Theory, General Equilibrium, Growth, Learning and Evolution, Macroeconomics, Market and Mechanism Design, and Social Choice.
包括对契约理论、决策理论、博弈论、一般均衡、增长、学习与进化、宏观经济学、市场与机制设计、社会选择的理论贡献。
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一级分类：Quantitative Finance 数量金融学
二级分类：Economics 经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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英文摘要：
I derive practical formulas for optimal arrangements between sophisticated stock market investors (namely, continuous-time Kelly gamblers or, more generally, CRRA investors) and the brokers who lend them cash for leveraged bets on a high Sharpe asset (i.e. the market portfolio). Rather than, say, the broker posting a monopoly price for margin loans, the gambler agrees to use a greater quantity of margin debt than he otherwise would in exchange for an interest rate that is lower than the broker would otherwise post. The gambler thereby attains a higher asymptotic capital growth rate and the broker enjoys a greater rate of intermediation profit than would obtain under non-cooperation. If the threat point represents a vicious breakdown of negotiations (resulting in zero margin loans), then we get an elegant rule of thumb: $r_L^*=(3/4)r+(1/4)(\nu-\sigma^2/2)$, where $r$ is the broker's cost of funds, $\nu$ is the compound-annual growth rate of the market index, and $\sigma$ is the annual volatility. We show that, regardless of the particular threat point, the gambler will negotiate to size his bets as if he himself could borrow at the broker's call rate.
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PDF链接：
https://arxiv.org/pdf/1904.06628