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

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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.

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Authors and Affiliations

  1. Institute for Information Transmission Problems, RAS, Moscow, Russia

    V. V. V.’yugin

  2. Lomonosov Moscow State University, Russia

    V. P. Maslov

Authors
  1. V. V. V.’yugin
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  2. V. P. Maslov
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Additional information

Original Russian Text © V.V. V’yugin, V.P. Maslov, 2006, published in Problemy Peredachi Informatsii, 2006, Vol. 42, No. 3, pp. 97–108.

Supported in part by the Russian Foundation for Basic Research, project no. 06-01-00122.

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V.’yugin, V.V., Maslov, V.P. Distribution of investments in the stock market, information types, and algorithmic complexity. Probl Inf Transm 42, 251–261 (2006). https://doi.org/10.1134/S0032946006030082

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  • DOI: https://doi.org/10.1134/S0032946006030082

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