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The Thermodynamics of Portfolios

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  • Edward W. Piotrowski

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  • Jan Sladkowski

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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 of thermodynamics. (final version published in Acta Phys.Pol.B,32(2001)597-604)

Suggested Citation

  • Edward W. Piotrowski & Jan Sladkowski, "undated". "The Thermodynamics of Portfolios," Departmental Working Papers 2, University of Bialtystok, Department of Theoretical Physics.
  • Handle: RePEc:sla:eakjkl:2
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    File URL: http://alpha.uwb.edu.pl/ep/RePEc/sla/eakjkl/2.pdf
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    References listed on IDEAS

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    1. George J. Stigler, 1947. "Notes on the History of the Giffen Paradox," Journal of Political Economy, University of Chicago Press, vol. 55, pages 152-152.
    2. Edward W. Piotrowski & Jan Sladkowski, "undated". "The Thermodynamics of Portfolios," Departmental Working Papers 2, University of Bialtystok, Department of Theoretical Physics.
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    Cited by:

    1. Piotrowski, Edward W. & Sładkowski, Jan, 2005. "Quantum diffusion of prices and profits," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 345(1), pages 185-195.
    2. Piotrowski, Edward W & Sładkowski, Jan, 2004. "Arbitrage risk induced by transaction costs," Physica A: Statistical Mechanics and its Applications, Elsevier, pages 233-239.
    3. Edward W. Piotrowski, "undated". "Problems with the Astumian's Paradox (in Polish)," Departmental Working Papers 121pl, University of Bialtystok, Department of Theoretical Physics.
    4. Szczypińska, Anna & Piotrowski, Edward W., 2009. "Inconsistency of the judgment matrix in the AHP method and the decision maker’s knowledge," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(6), pages 907-915.
    5. Edward W. Piotrowski & Jan Sladkowski, "undated". "The Merchandising Mathematician Model. Stochastic Demand and Supply," Departmental Working Papers 1, University of Bialtystok, Department of Theoretical Physics.
    6. Josip Stepanic, 2004. "Social Equivalent of Free Energy," Interdisciplinary Description of Complex Systems - scientific journal, Croatian Interdisciplinary Society Provider Homepage: http://indecs.eu, vol. 2(1), pages 53-60.
    7. Edward W. Piotrowski & Jan Sladkowski, "undated". "An Invitation to Quantum Game Theory," Departmental Working Papers 15, University of Bialtystok, Department of Theoretical Physics.

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