On the possibility of optimal investment
Statistical Mechanics
2009-10-31 v2 Disordered Systems and Neural Networks
Portfolio Management
Abstract
We analyze the theory of optimal investment in risky assets, developed recently by Marsili, Maslov and Zhang [Physica A 253 (1998) 403]. When the real data are used instead of abstract stochastic process, it appears that a non-trivial investment strategy is rarely possible. We show that non-zero transaction costs make the applicability of the method even more difficult. We generalize the method in order to take into account possible correlations in the asset price.
Keywords
Cite
@article{arxiv.cond-mat/9905050,
title = {On the possibility of optimal investment},
author = {Frantisek Slanina},
journal= {arXiv preprint arXiv:cond-mat/9905050},
year = {2009}
}
Comments
6 pages, 5 figures, submitted to Physica A