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On the possibility of optimal investment

Frantisek Slanina
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Abstract

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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Frantisek Slanina. 1999-05-06. On the possibility of optimal investment. https://doi.org/10.1016/s0378-4371(99)00180-6

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