Translation Invariance of Investment

Details Translation Invariance of Investment Translation Invariance of Investment

2007-03-03

arxiv.org/abs/math/0703078v1

Mathematics

Optimization and Control

5 pages

Scientific paper

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.

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