2,665 research outputs found
On the possibility of optimal investment
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.Comment: 6 pages, 5 figures, submitted to Physica
- …