Translation Invariance of Investment
Optimization and Control
2007-05-23 v1
Abstract
For a game with positive profit, the optimal proportion of investment required to continue investing without borrowing is uniquely determined by an integral equation for each price. For a game with parallel translated profit, the ratio of the optimal proportion of investment to its price has some invariance properties. The optimal price of a game with parallel translated profit converges to its expectation divided by e to the riskless interest rate for a certain period.
Keywords
Cite
@article{arxiv.math/0703078,
title = {Translation Invariance of Investment},
author = {Yukio Hirashita},
journal= {arXiv preprint arXiv:math/0703078},
year = {2007}
}
Comments
5 pages