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Conference publicationsPopulation model of an investment portfolioThe population model of an investment portfolio with density-depended competition is proposed. For risk free assets motion equations are presented in information manifold. It is shown that a porfolio evolutes in a way such that a variation of information tends to be minimal. In assumption that market processes are diffusion ones the Kolmogorov equation is expressed. The solution of this equation is found for lognormal random walk of asset prices. |
