The paper derives the long-term expected logarithmic growth rate of LP wealth in general G3Ms by modeling arbitrage-driven markets with stochastic reflected diffusions, extending constant-product results.
Balancer: A non-custodial portfolio manager, liquidity provider, and price sensor, 2019
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Growth rate of liquidity provider's wealth in G3Ms
The paper derives the long-term expected logarithmic growth rate of LP wealth in general G3Ms by modeling arbitrage-driven markets with stochastic reflected diffusions, extending constant-product results.