Abstract

http://ssrn.com/abstract=983112
 
 

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The Joy of Volatility


M. A. H. Dempster


University of Cambridge - Centre for Financial Research; Cambridge Systems Associates Limited

Igor V. Evstigneev


University of Manchester - Economics, School of Social Sciences

Klaus Reiner Schenk-Hoppé


University of Manchester - Department of Economics; Norwegian School of Economics (NHH) - Department of Finance


FINRISK Working Paper No. 374

Abstract:     
Modern portfolio theory regards the return of an asset as its upside, while volatility is seen as its downside. This view is shared by the majority of investors who dislike volatile markets. Recent results in financial mathematics, however, show that volatility is actually good, rather than bad, for financial growth. Very simple active portfolio management opens up this profitable opportunity to generate growth from volatility.

Number of Pages in PDF File: 6

Keywords: Volatility, capital growth, investment, constant proportions strategies

JEL Classification: G00


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Date posted: April 28, 2007  

Suggested Citation

Dempster, M. A. H. and Evstigneev, Igor V. and Schenk-Hoppé, Klaus Reiner, The Joy of Volatility. Available at SSRN: http://ssrn.com/abstract=983112 or http://dx.doi.org/10.2139/ssrn.983112

Contact Information

M. A. H. Dempster
University of Cambridge - Centre for Financial Research ( email )
Centre for Mathematical Sciences
Wilberforce Road
Cambridge, CB3 0WA
United Kingdom
Cambridge Systems Associates Limited ( email )
5-7 Portugal Place
Cambridge, CB5 8AF
United Kingdom
Igor V. Evstigneev
University of Manchester - Economics, School of Social Sciences ( email )
Oxford Road
Manchester, M13 9PL
United Kingdom
+44 161 2754275 (Phone)
+44 161 2754812 (Fax)
HOME PAGE: http://www.evstigneev.net
Klaus Reiner Schenk-Hoppé (Contact Author)
University of Manchester - Department of Economics ( email )
Arthur Lewis Building
Oxford Road
Manchester, M13 9PL
United Kingdom
Norwegian School of Economics (NHH) - Department of Finance ( email )
Helleveien 30
N-5045 Bergen
Norway
Feedback to SSRN


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