Exponential growth of fixed-mix strategies in stationary asset markets

DOI10.1007/s007800200081zbMath1039.91021OpenAlexW3125736805MaRDI QIDQ1424717

Michael A. H. Dempster, Igor V. Evstigneev, Klaus Reiner Schenk-Hoppé

Publication date: 16 March 2004

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s007800200081

zbMATH Keywords

exponential growthasset allocationproducts of random matricesfixed-mix strategiesstationary marketsstochastic version of the Perron-Frobenius theorem

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Particular nonlinear operators (superposition, Hammerstein, Nemytski?, Uryson, etc.) (47H30) Random operators and equations (aspects of stochastic analysis) (60H25) Portfolio theory (91G10)

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Stochastic fixed points and nonlinear Perron–Frobenius theorem ⋮ Pure and randomized equilibria in the stochastic von Neumann-Gale model ⋮ Financial markets. The joy of volatility ⋮ Portfolio management without probabilities or statistics ⋮ Asymptotic arbitrage and large deviations ⋮ Stochastic nonlinear Perron-Frobenius theorem ⋮ Volatility-induced financial growth ⋮ A bifurcation theory for a class of discrete time Markovian stochastic systems ⋮ Arbitrage in stationary markets

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