Volatility-induced financial growth

DOI10.1080/14697680601103268zbMath1278.91134MaRDI 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 costs; exponential growth; financial markets; investment; volatility; constant proportions strategies

Mathematics Subject Classification ID

91G10: Portfolio theory

Related Items

Analysis of the rebalancing frequency in log-optimal portfolio selection, DC pension fund benchmarking with fixed-mix portfolio optimization, Arbitrage in stationary markets, Financial markets. The joy of volatility, Developments in Parrondo’s Paradox

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