Growing wealth with fixed-mix strategies

Michael A.H. Dempster, Igor Evstigneev and Klaus Schenk-Hoppé
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Michael A.H. Dempster: University of Cambridge

No 09-37, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

Abstract: This chapter surveys theoretical research on the long-term performance of fixed-mix investment strategies. These self-financing strategies rebalance the portfolio over time so as to keep constant the proportions of wealth invested in various assets. The main result is that wealth can be grown from volatility. Our findings demonstrate the benefits of active portfolio management and the potential of financial engineering.

Keywords: Volatility; Constant proportions strategies; Fixed-mix strategies; Financial markets; Investment; Exponential growth; Transaction costs. (search for similar items in EconPapers)
JEL-codes: G11 (search for similar items in EconPapers)
Pages: 35 pages
Date: 2009-08
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Citations: View citations in EconPapers (1)

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Related works:
Chapter: Growing Wealth with Fixed-Mix Strategies (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp0937

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