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On the possibility of optimal investment

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  • Slanina, František

Abstract

We analyze the theory of optimal investment in risky assets, developed recently by Marsili et al. (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.

Suggested Citation

  • Slanina, František, 1999. "On the possibility of optimal investment," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 269(2), pages 554-563.
    • Handle: RePEc:eee:phsmap:v:269:y:1999:i:2:p:554-563
    DOI: 10.1016/S0378-4371(99)00180-6
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    Cited by:

    1. Jan Lorenz & Fabian Paetzel & Frank Schweitzer, 2013. "Redistribution Spurs Growth by Using a Portfolio Effect on Risky Human Capital," PLOS ONE, Public Library of Science, vol. 8(2), pages 1-13, February.
    2. Pichl, Lukáš & Kaizoji, Taisei & Yamano, Takuya, 2007. "Stylized facts in internal rates of return on stock index and its derivative transactions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(1), pages 219-227.
    3. Jan Lorenz & Fabian Paetzel & Frank Schweitzer, 2012. "Redistribution spurs growth by using a portfolio effect on human capital," Papers 1210.3716, arXiv.org.

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