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Growing Wealth with Fixed-Mix Strategies

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

Chapter 29 in The Kelly Capital Growth Investment Criterion:Theory and Practice, 2011, pp 427-455 from World Scientific Publishing Co. Pte. Ltd.

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: Kelly Criterion; Dynamic Investment Analysis; Capital Growth Theory; Sports Betting; Hedge Fund Strategies; Speculative Investing; Fortune 's Formula (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (5)

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Working Paper: Growing wealth with fixed-mix strategies (2009) Downloads
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