Volatility-induced financial growth

被引：22
|
作者：
Dempster, Michael A. H.
Evstigneev, Igor V.
Schenk-Hoppe, Klaus R. [1 ]
机构：
[1] Univ Leeds, Sch Business, Leeds LS2 9JT, W Yorkshire, England
[2] Univ Leeds, Sch Math, Leeds LS2 9JT, W Yorkshire, England
[3] Univ Cambridge, Judge Business Sch, Ctr Financial Res, Cambridge CB2 1AG, England
[4] Univ Manchester, Sch Econ Studies, Manchester M13 9PL, Lancs, England
来源：
QUANTITATIVE FINANCE | 2007年 / 7卷 / 02期
关键词：
volatility; constant proportions strategies; financial markets; investment; exponential growth; transaction costs;
D O I：
10.1080/14697680601103268
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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.
引用
收藏
页码：151 / 160
页数：10
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