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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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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中文摘要：
我推导出了复杂股票市场投资者（即连续时间Kelly赌徒，或更一般地说，CRRA投资者）与经纪人之间最佳安排的实用公式，经纪人向他们提供现金，用于对高夏普资产（即市场投资组合）进行杠杆式押注。比方说，与经纪人公布保证金贷款的垄断价格不同，赌徒同意使用更多的保证金债务，以换取低于经纪人公布的利率。因此，赌徒可以获得更高的渐进资本增长率，而经纪人可以享受比不合作情况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），那么我们可以得到一个优雅的经验法则：$r\\u L ^*=（3/4）r+（1/4）（\\nu-\\sigma^2/2）$，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，而$\\sigma$是年度波动率。我们表明，无论特定的威胁点是什么，赌徒都会协商确定赌注大小，就像他自己可以按照经纪人的买入利率借贷一样。
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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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