“…More specifically, it tracks an “aim portfolio” (a constant multiple
of the frictionless optimal holdings
) with a constant (relative) trading rate
. This parallels results for single‐agent models (Gârleanu & Pedersen,
2016), a central planner (Section 4.1), or open‐loop equilibria (Voß,
2019; Casgrain and Jaimungal,
2020 or Section 4.2). However, the coefficients as well as the corresponding optimal value all depend on the form of the agents' strategic interaction.…”