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Mathematics > Optimization and Control

arXiv:math/0703078 (math)
[Submitted on 3 Mar 2007]

Title:Translation Invariance of Investment

Authors:Yukio Hirashita
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Abstract: For a game with positive profit, the optimal proportion of investment required to continue investing without borrowing is uniquely determined by an integral equation for each price. For a game with parallel translated profit, the ratio of the optimal proportion of investment to its price has some invariance properties. The optimal price of a game with parallel translated profit converges to its expectation divided by e to the riskless interest rate for a certain period.
Comments: 5 pages
Subjects: Optimization and Control (math.OC)
MSC classes: 91B28 (Primary); 45G15 (Secondary)
Cite as: arXiv:math/0703078 [math.OC]
  (or arXiv:math/0703078v1 [math.OC] for this version)
  https://doi.org/10.48550/arXiv.math/0703078

Submission history

From: Yukio Hirashita [view email]
[v1] Sat, 3 Mar 2007 03:02:12 UTC (5 KB)
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