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The Joy of VolatilityM. A. H. DempsterUniversity of Cambridge - Judge Business School, Centre for Financial Research Igor V. EvstigneevUniversity of Manchester - Economics, School of Social Sciences Klaus Reiner Schenk-HoppéUniversity of Leeds - Leeds University Business School; University of Leeds - School of Mathematics 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 seriesDate posted: April 28, 2007Suggested CitationContact Information
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