Constructs a McKean-Vlasov market model for N investors seeking relative arbitrage and derives optimal strategies and unique Nash equilibrium from the smallest nonnegative solution of a Cauchy problem.
Wong, Information geometry in portfolio theory In Frank Nielsen (Ed.), Geometric Structures of Information, Springer (2019)
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Relative Arbitrage Opportunities with Interactions among $N$ Investors
Constructs a McKean-Vlasov market model for N investors seeking relative arbitrage and derives optimal strategies and unique Nash equilibrium from the smallest nonnegative solution of a Cauchy problem.