The Thermodynamics of Portfolios

Edward Piotrowski () and Jan Sladkowski ()

Departmental Working Papers from University of Bialtystok, Department of Theoretical Physics

Abstract: We propose a new method of valuation of portfolios and their respective investing strategies. To this end we define a canonical ensemble of portfolios that allows to use the formalism of thermodynamics. (final version published in Acta Phys.Pol.B,32(2001)597-604)

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Related works:
Working Paper: The thermodynamics of portfolios (2000)
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