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The thermodynamics of portfolios

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  • E. W. Piotrowski
  • J. Sladkowski

Abstract

We propose a new method of valuation of portfolios and their respective investing strategies. To this end we define a canonical ensemble of portfolios that allows to use the formalism thermodynamics.

Suggested Citation

  • E. W. Piotrowski & J. Sladkowski, 2000. "The thermodynamics of portfolios," Papers cond-mat/0011280, arXiv.org.
    • Handle: RePEc:arx:papers:cond-mat/0011280
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    Cited by:

    1. Piotrowski, Edward W. & Sładkowski, Jan, 2005. "Quantum diffusion of prices and profits," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 345(1), pages 185-195.
    2. Szczypińska, Anna & Piotrowski, Edward W., 2009. "Inconsistency of the judgment matrix in the AHP method and the decision maker’s knowledge," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(6), pages 907-915.
    3. Piotrowski, Edward W & Sładkowski, Jan, 2004. "Arbitrage risk induced by transaction costs," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 331(1), pages 233-239.
    4. Edward W. Piotrowski, "undated". "Problems with the Astumian's Paradox (in Polish)," Departmental Working Papers 121pl, University of Bialtystok, Department of Theoretical Physics.
    5. Edward W. Piotrowski & Jan Sladkowski, "undated". "The Merchandising Mathematician Model. Stochastic Demand and Supply," Departmental Working Papers 1, University of Bialtystok, Department of Theoretical Physics.
    6. Edward Piotrowski & Jan Sładkowski, 2004. "Quantum games in finance," Quantitative Finance, Taylor & Francis Journals, vol. 4(6), pages 61-67.
    7. Josip Stepanic, 2004. "Social Equivalent of Free Energy," Interdisciplinary Description of Complex Systems - scientific journal, Croatian Interdisciplinary Society Provider Homepage: http://indecs.eu, vol. 2(1), pages 53-60.
    8. Edward W. Piotrowski & Jan Sladkowski, "undated". "An Invitation to Quantum Game Theory," Departmental Working Papers 15, University of Bialtystok, Department of Theoretical Physics.

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