On the possibility of optimal investment

František Slanina

Physica A: Statistical Mechanics and its Applications, 1999, vol. 269, issue 2, 554-563

Abstract: We analyze the theory of optimal investment in risky assets, developed recently by Marsili et al. (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: Stochastic processes; Economics; Dynamical optimization (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:269:y:1999:i:2:p:554-563

DOI: 10.1016/S0378-4371(99)00180-6

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