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Quantitative Finance Volume 7, 2007 - Issue 2: Financial Planning in a Dynamical Setting
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Original Articles

Volatility-induced financial growth

Michael A. H. Dempster Centre for Financial Research, Judge Business School, University of Cambridge, Trumpington Street, Cambridge CB2 1AG, UK
,
Igor V. Evstigneev School of Economic Studies, University of Manchester, Oxford Road, Manchester M13 9PL, UK
&
Klaus R. Schenk-hoppé Leeds University Business School and School of Mathematics, University of Leeds, Leeds LS2 9JT, UKCorrespondence[email protected]
Pages 151-160 | Received 22 Apr 2005, Accepted 18 Oct 2006, Published online: 08 May 2007

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Mikhail Zhitlukhin. (2023) Asymptotic minimization of expected time to reach a large wealth level in an asset market game. Stochastics 95:1, pages 67-78.
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Daniel Kuhn & David G. Luenberger. (2010) Analysis of the rebalancing frequency in log-optimal portfolio selection. Quantitative Finance 10:2, pages 221-234.
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M. A. H. Dempster, Igor V. Evstigneev & Klaus Reiner Schenk-Hoppé. (2008) Financial markets. The joy of volatility. Quantitative Finance 8:1, pages 1-3.
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M. A. H. Dempster, E. A. Germano, M. Medova, M. I. Rietbergen, F. Sandrini, M. Scrowston & N. Zhang. (2007) DC pension fund benchmarking with fixed-mix portfolio optimization. Quantitative Finance 7:4, pages 365-370.
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John M. Mulvey, Cenk Ural & Zhuojuan Zhang. (2007) Improving performance for long-term investors: wide diversification, leverage, and overlay strategies. Quantitative Finance 7:2, pages 175-187.
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Articles from other publishers (28)

Diana Barro, Giorgio Consigli & Vivek Varun. (2022) A stochastic programming model for dynamic portfolio management with financial derivatives. Journal of Banking & Finance 140, pages 106445.
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Rabah Amir, Igor V. Evstigneev, Thorsten Hens, Valeriya Potapova & Klaus R. Schenk-Hoppé. (2021) Evolution in pecunia. Proceedings of the National Academy of Sciences 118:26.
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Sergei Belkov, Igor V. Evstigneev & Thorsten Hens. (2020) An evolutionary finance model with a risk-free asset. Annals of Finance 16:4, pages 593-607.
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Esmaeil Babaei, Igor V. Evstigneev, Klaus Reiner Schenk-Hoppé & Mikhail Zhitlukhin. (2020) Von Neumann–Gale dynamics and capital growth in financial markets with frictions. Mathematics and Financial Economics 14:2, pages 283-305.
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Diana Barro, Elio Canestrelli & Giorgio Consigli. (2018) Volatility versus downside risk: performance protection in dynamic portfolio strategies. Computational Management Science 16:3, pages 433-479.
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Keith Cuthbertson, Simon Hayley, Nick Motson & Dirk Nitzsche. (2016) What Does Rebalancing Really Achieve?. International Journal of Finance & Economics 21:3, pages 224-240.
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David B Saakian. (2016) The solution of Parrondo’s games with multi-step jumps. Journal of Statistical Mechanics: Theory and Experiment 2016:4, pages 043213.
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Paul Bouchey, Vassilii Nemtchinov & Ting-Kam Leonard Wong. (2015) Volatility Harvesting in Theory and Practice. The Journal of Wealth Management 18:3, pages 89-100.
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Paul Bouchey, Vassilii Nemtchinov & Ting-Kam Leonard Wong. (2015) Volatility Harvesting in Theory and Practice. The Journal of Wealth Management.
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Satoru Morita & Jin Yoshimura. (2013) Analytical solution of a stochastic model of risk spreading with global coupling. Physical Review E 88:5.
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Tieyan Si. (2012) An optical model for implementing Parrondo’s game and designing stochastic game with long-term memory. Chaos, Solitons & Fractals 45:11, pages 1430-1436.
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Satoru Morita & Jin Yoshimura. (2012) Analytical solution of metapopulation dynamics in a stochastic environment. Physical Review E 86:4.
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KONSTANTINOS MAVROUDIS & CRAIG A. NOLDER. (2012) FIXED-MIX RULES IN AN EVOLUTIONARY MARKET USING A FACTOR MODEL FOR DIVIDENDS. International Journal of Theoretical and Applied Finance 14:08, pages 1247-1277.
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Rabah Amir, Igor V. Evstigneev, Thorsten Hens & Le Xu. (2011) Evolutionary finance and dynamic games. Mathematics and Financial Economics 5:3, pages 161-184.
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Paul David Williams & Alan Hastings. (2011) Paradoxical persistence through mixed-system dynamics: towards a unified perspective of reversal behaviours in evolutionary ecology. Proceedings of the Royal Society B: Biological Sciences 278:1710, pages 1281-1290.
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DEREK ABBOTT. (2012) ASYMMETRY AND DISORDER: A DECADE OF PARRONDO'S PARADOX. Fluctuation and Noise Letters 09:01, pages 129-156.
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Michael A.H Dempster, Matteo Germano, Elena A Medova, James K Murphy, Dermot Ryan & Francesco Sandrini. (2009) Risk-Profiling Defined Benefit Pension Schemes. The Journal of Portfolio Management 35:4, pages 76-93.
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Igor Evstigneev & Dhruv Kapoor. (2008) Arbitrage in stationary markets. Decisions in Economics and Finance 32:1, pages 5-12.
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Derek Abbott. 2009. Applications of Nonlinear Dynamics. Applications of Nonlinear Dynamics 307 321 .
Rabah Amir, Igor V. Evstigneev, Thorsten Hens, Valeriya Potapova & Klaus Reiner Schenk-Hoppé. (2020) Evolution <i>in Pecunia</i>. SSRN Electronic Journal.
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Siyabonga Goodwill Chule. (2017) Locally Adapt Risks Minimizing. SSRN Electronic Journal.
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Sergei Belkov, Igor V. Evstigneev & Thorsten Hens. (2017) Evolutionary Finance Models with Short Selling and Endogenous Asset Supply. SSRN Electronic Journal.
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Siya Goodwill Chule, Marie de Beer & Sibusiso Moyo. (2015) The Analysis and Computations in Determining a Financial Proxy Corresponding to De-Trending. SSRN Electronic Journal.
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Diana Barro, Elio Canestrelli & Fabio Lanza. (2014) Volatility vs. Downside Risk: Optimally Protecting Against Drawdowns and Maintaining Portfolio Performance. SSRN Electronic Journal.
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Simon Hayley, Keith Cuthbertson & Nick Motson. (2013) Diversification Returns, Rebalancing Returns and Volatility Pumping. SSRN Electronic Journal.
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Rabah Amir, Igor V. Evstigneev, Thorsten Hens & Le Xu. (2010) Evolutionary Finance and Dynamic Games. SSRN Electronic Journal.
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M. A. H. Dempster, Igor V. Evstigneev & Klaus Reiner Schenk-Hoppé. (2009) Growing Wealth with Fixed-Mix Strategies. SSRN Electronic Journal.
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Igor V. Evstigneev & Dhruv Kapoor. (2007) Arbitrage in Stationary Markets. SSRN Electronic Journal.
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