On the possibility of optimal investment

Details On the possibility of optimal investment On the possibility of optimal investment

1999-05-05

arxiv.org/abs/cond-mat/9905050v2

Physica A 269 (1999) 554-563

Physics

Condensed Matter

Statistical Mechanics

6 pages, 5 figures, submitted to Physica A

Scientific paper

10.1016/S0378-4371(99)00180-6

We analyze the theory of optimal investment in risky assets, developed recently by Marsili, Maslov and Zhang [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.

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