Capital Growth Theory: Continued

Igor V. Evstigneev, Thorsten Hens and Klaus Schenk-Hoppé
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Igor V. Evstigneev: University of Manchester
Thorsten Hens: University of Zurich

Chapter 18 in Mathematical Financial Economics, 2015, pp 177-186 from Springer

Abstract: Abstract The chapter analyzes the log-optimal portfolio rule in more detail. It provides a criterion of log-optimality and develops capital growth theory for general (not necessarily simple) strategies. The highlight of the chapter is the discussion of the puzzle of endogenous financial growth in stationarity markets. The paradox of volatility-induced growth is described and the main result explaining it is proved.

Keywords: Asset Price; Trading Strategy; Risky Asset; Price Vector; Initial Wealth (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sptchp:978-3-319-16571-4_18

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DOI: 10.1007/978-3-319-16571-4_18

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