Volatility-induced financial growth

DOI10.1080/14697680601103268zbMath1278.91134OpenAlexW3125573769MaRDI QIDQ3593598

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

Publication date: 23 July 2007

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

Full work available at URL: http://hummedia.manchester.ac.uk/schools/soss/economics/discussionpapers/EDP-0626.pdf

zbMATH Keywords

transaction costsexponential growthfinancial marketsinvestmentvolatilityconstant proportions strategies

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (13)

Von Neumann-Gale dynamics and capital growth in financial markets with frictions ⋮ FIXED-MIX RULES IN AN EVOLUTIONARY MARKET USING A FACTOR MODEL FOR DIVIDENDS ⋮ An optical model for implementing Parrondo's game and designing stochastic game with long-term memory ⋮ Asymptotic minimization of expected time to reach a large wealth level in an asset market game ⋮ Evolutionary finance and dynamic games ⋮ Financial markets. The joy of volatility ⋮ The solution of Parrondo’s games with multi-step jumps ⋮ DC pension fund benchmarking with fixed-mix portfolio optimization ⋮ Analysis of the rebalancing frequency in log-optimal portfolio selection ⋮ An evolutionary finance model with a risk-free asset ⋮ Developments in Parrondo’s Paradox ⋮ Arbitrage in stationary markets ⋮ Volatility versus downside risk: performance protection in dynamic portfolio strategies

Cites Work

• A simple approach to arbitrage pricing theory
• Asymptotic optimality and asymptotic equipartiton properties of log- optimum investment
• Hedging and liquidation under transaction costs in currency markets
• Exponential growth of fixed-mix strategies in stationary asset markets
• Parrondo's paradox.
• Overview: Unsolved problems of noise and fluctuations
• FROM RAGS TO RICHES: ON CONSTANT PROPORTIONS INVESTMENT STRATEGIES
• A GENERAL METHODOLOGY TO PRICE AND HEDGE DERIVATIVES IN INCOMPLETE MARKETS
• Growth Versus Security in Dynamic Investment Analysis
• Growth-Security Investment Strategy for Long and Short Runs
• Universal Portfolios
• FINANCIAL FRICTION AND MULTIPLICATIVE MARKOV MARKET GAMES

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