Distribution of investments in the stock market, information types, and algorithmic complexity

V. V. V'yugin, V. P. Maslov

Research output: Contribution to journalArticlepeer-review

Abstract

For a simplest mathematical model of a stock market, the problem of optimal distribution of investments among different securities (stocks, bonds, etc.) is considered. Our results, which are obtained in terms of algorithmic complexity, allow to discuss heuristically the properties of sufficiently complex security portfolios in the conditions of daily changing return rates. All considerations are given in the combinatorial framework and do not use any probabilistic models.

Original languageEnglish
Pages (from-to)251-261
Number of pages11
JournalProblems of information transmission
Volume42
Issue number3
DOIs
Publication statusPublished - Sep 2006
Externally publishedYes

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