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

Igor V. Evstigneev


University of Manchester - Economics, School of Social Sciences

Klaus Reiner Schenk-Hoppé


University of Leeds - Leeds University Business School; University of Leeds - School of Mathematics; 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

working papers series


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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 )
Statistical Laboratory
University of Cambridge
Cambridge, CB3 0WB
United Kingdom
+44(0)1223 557643 (Phone)
+44(0)1223 557641 (Fax)
HOME PAGE: http://www.cfr.statslab.cam.ac.uk
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 Leeds - Leeds University Business School ( email )
Keyworth Building
Leeds, LS2 9JT
United Kingdom
+44 113 343 4513 (Phone)
+44 113 343 4495 (Fax)
HOME PAGE: http://www.schenk-hoppe.net
University of Leeds - School of Mathematics ( email )
Woodhouse Lane
Leeds, LS2 9JT
United Kingdom
+44 113 343 5187 (Phone)
+44 113 343 5090 (Fax)
HOME PAGE: http://www.schenk-hoppe.net
Norwegian School of Economics (NHH) - Department of Finance ( email )
Helleveien 30
N-5045 Bergen
Norway
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