Volatility-induced financial growth

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

Quantitative Finance, 2007, vol. 7, issue 2, 151-160

Abstract: We show that the volatility of a price process, which is usually regarded as an impediment to financial growth, can serve as an endogenous factor in its acceleration.

Keywords: Volatility; Constant proportions strategies; Financial markets; Investment; Exponential growth; Transaction costs (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (12)

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Working Paper: Volatility-Induced Financial Growth (2006)
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DOI: 10.1080/14697680601103268

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