Population model of an investment portfolio
Zhabin D.N., Shapovalov A.V., Shapovalova E.A.
"Математика. Компьютер. Образование". Cб. трудов XI международной конференции. Под общей редакцией Г.Ю. Ризниченко Ижевск: Научно-издательский центр "Регулярная и хаотическая динамика", 2004. Vol. 2. Pp. 547-554.
The 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.
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