Volatility-induced financial growth
From MaRDI portal
Publication:3593598
DOI10.1080/14697680601103268zbMATH Open1278.91134OpenAlexW3125573769MaRDI QIDQ3593598FDOQ3593598
Authors: Klaus R. Schenk-Hoppé, M. A. H. Dempster, Igor V. Evstigneev 
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
investmentvolatilitytransaction costsfinancial marketsexponential growthconstant proportions strategies
Cites Work
- Hedging and liquidation under transaction costs in currency markets
- Parrondo's paradox.
- Universal Portfolios
- Growth Versus Security in Dynamic Investment Analysis
- 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
- A simple approach to arbitrage pricing theory
- Growth-Security Investment Strategy for Long and Short Runs
- Unsolved problems of noise and fluctuations
- A GENERAL METHODOLOGY TO PRICE AND HEDGE DERIVATIVES IN INCOMPLETE MARKETS
- FINANCIAL FRICTION AND MULTIPLICATIVE MARKOV MARKET GAMES
Cited In (14)
- Financial markets. The joy of volatility
- Volatility versus downside risk: performance protection in dynamic portfolio strategies
- DC pension fund benchmarking with fixed-mix portfolio optimization
- Asymptotic minimization of expected time to reach a large wealth level in an asset market game
- Title not available (Why is that?)
- Fixed-mix rules in an evolutionary market using a factor model for dividends
- Von Neumann-Gale dynamics and capital growth in financial markets with frictions
- An evolutionary finance model with a risk-free asset
- An optical model for implementing Parrondo's game and designing stochastic game with long-term memory
- Developments in Parrondo’s Paradox
- Evolutionary finance and dynamic games
- Analysis of the rebalancing frequency in log-optimal portfolio selection
- The solution of Parrondo's games with multi-step jumps
- Arbitrage in stationary markets
This page was built for publication: Volatility-induced financial growth
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3593598)
