相关论文: The thermodynamics of portfolios
New theoretical approaches about forecasting stock markets are proposed. A mathematization of the stock market in terms of arithmetical relations is given, where some simple (non-differential, non-fractal) expressions are also suggested as…
An analytical method to compute thermodynamic properties of a given Hamiltonian system is proposed. This method combines ideas of both dynamical systems and ensemble approaches to thermodynamics, providing de facto a possible alternative to…
Computational aspects of the optimal consumption and investment with the partially observed stochastic volatility of the asset prices are considered. The new quantization approach to filtering - density quantization - is introduced which…
We briefly review the approach to optimization of portfolios according to the theory of Markowitz and propose a further modification that can improve the outcome of the optimization process. The modification takes account of the entropic…
Managing investment portfolios is an old and well know problem in multiple fields including financial mathematics and financial engineering as well as econometrics and econophysics. Multiple different concepts and theories were used so far…
We introduce a pathwise approach to analyze the relative performance of an equity portfolio with respect to a benchmark market portfolio. In this energy-entropy framework, the relative performance is decomposed into three components: a…
We introduce polynomial processes in the sense of [8] in the context of stochastic portfolio theory to model simultaneously companies' market capitalizations and the corresponding market weights. These models substantially extend volatility…
The appeal of thermodynamics to problems outside physics is undeniable, as is the growing recognition of its apparent universality, yet in the absence of a rigorous formalism divorced from the peculiarities of molecular systems all attempts…
We consider the thermodynamic approach to the description of economic systems and processes. The first and second laws of thermodynamics as applied to economic systems are derived and analyzed. It is shown that there is a deep analogy…
In this paper, we consider the problem of optimization of a portfolio consisting of securities. An investor with an initial capital, is interested in constructing a portfolio of securities. If the prices of securities change, the investor…
In this work, we introduce Modern Portfolio Theory using basic concepts from linear algebra, differential calculus, statistics, and optimization. This theory allows us to measure the return and risk of an investment portfolio, serving as a…
We investigate the thermodynamics of integrable classical field theories under the effect of a random initial configuration, motivated by the nonequilibrium evolution of quantum field theories. The approach to thermal equilibrium is…
The thermodynamic formalism allows one to access the chaotic properties of equilibrium and out-of-equilibrium systems, by deriving those from a dynamical partition function. The definition that has been given for this partition function…
Portfolio management is an essential part of investment decision-making. However, traditional methods often fail to deliver reasonable performance. This problem stems from the inability of these methods to account for the unique…
This paper presents a novel framework for analyzing the optimal asset and signal combination problem. Our approach builds upon the dynamic portfolio selection problem introduced by Brandt and Santa-Clara (2006) and consists of two stages.…
We formulate thermodynamics of economic systems in terms of an arbitrary probability distribution for a conserved economic quantity. As in statistical physics, thermodynamic macroeconomic variables emerge as the mean value of microeconomic…
We introduce a collective model for life insurance where the heterogeneity of each insured, including the health state, is modeled by a diffusion process. This model is influenced by concepts in statistical mechanics. Using the proposed…
We study ergodic properties of certain piecewise smooth two-dimensional systems by constructing countable Markov partitions. Using thermodynamic formalism we prove exponential decay of correleations.
A thermodynamic expression for the analog of the canonical ensemble for nonequilibrium systems is described based on a purely information theoretical interpretation of entropy. As an application, it is shown that this nonequilibrium…
Quantum thermodynamics is a powerful theoretical tool for assessing the suitability of quantum materials as platforms for novel technologies. In particular, the modeling of quantum cycles allows us to investigate the heat changes and work…