Abstract
This paper studies the following cooperative investment game with two agents. At the start of the game, both the agents’ capital are collected. The total capital are then invested according to a certain trading strategy. At a certain time T0 one agent quits the cooperation and they divide the wealth among themselves. During the remaining period [T0, T], the other agent invests his/her capital following a possibly different trading strategy. By stochastic optimization method combined with the theory of Backward Stochastic Differential Equations (BSDEs, for short), we give an equivalent characterization of the Pareto optimal cooperative strategies.
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