Financial markets. The joy of volatility

DOI10.1080/14697680701799577zbMath1140.91386OpenAlexW2160631057MaRDI QIDQ3518383

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

Publication date: 7 August 2008

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680701799577

Mathematics Subject Classification ID

Related Items (5)

Evolutionary finance and dynamic games ⋮ Analysis of the rebalancing frequency in log-optimal portfolio selection ⋮ Volatility versus downside risk: performance protection in dynamic portfolio strategies ⋮ A semiparametric graphical modelling approach for large-scale equity selection ⋮ Markets with random lifetimes and private values: mean reversion and option to trade

Cites Work

• Asymptotic optimality and asymptotic equipartiton properties of log- optimum investment
• Exponential growth of fixed-mix strategies in stationary asset markets
• FROM RAGS TO RICHES: ON CONSTANT PROPORTIONS INVESTMENT STRATEGIES
• Volatility-induced financial growth

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