We solve for the optimal dynamic trading strategy of an investor who faces two constraints. The first constraint is a limitation on his ability to borrow for the purpose of investing in a risky asset, i.e., the market value of his investments in the risky asset X, must be less than an...

Dual trading is said to occur when an entity sometimes trades as a broker for customers, and at other times trades for its own account. Dual trading is quite pervasive throughout the United States securities and futures markets as well as in financial and commodity markets throughout the world....