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The thermodynamics of portfolios

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Author Info

  • E. W. Piotrowski
  • J. Sladkowski

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 thermodynamics.

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File URL: http://arxiv.org/pdf/cond-mat/0011280
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Bibliographic Info

Paper provided by arXiv.org in its series Papers with number cond-mat/0011280.

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Date of creation: Nov 2000
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Publication status: Published in Acta Phys. Pol B32 597 (2001)
Handle: RePEc:arx:papers:cond-mat/0011280

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Web page: http://arxiv.org/

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Cited by:
  1. Edward W. Piotrowski & Jan Sladkowski, . "Quantum diffusion of prices and profits," Departmental Working Papers 12, University of Bialtystok, Department of Theoretical Physics.
  2. Edward W. Piotrowski & Jan Sladkowski, . "The Merchandising Mathematician Model. Stochastic Demand and Supply," Departmental Working Papers 1, University of Bialtystok, Department of Theoretical Physics.
  3. Edward W. Piotrowski & Jan Sladkowski, . "An Invitation to Quantum Game Theory," Departmental Working Papers 15, University of Bialtystok, Department of Theoretical Physics.
  4. Edward W. Piotrowski & Jan Sladkowski, . "Arbitrage Risk Induced by Transaction Costs," Departmental Working Papers 17, University of Bialtystok, Department of Theoretical Physics.
  5. Edward W. Piotrowski, . "Problems with the Astumian's Paradox (in Polish)," Departmental Working Papers 121pl, University of Bialtystok, Department of Theoretical Physics.

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