Slanina, František - In: Physica A: Statistical Mechanics and its Applications 269 (1999) 2, pp. 554-563
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...