The Joy of Volatility
FINRISK Working Paper No. 374
6 Pages Posted: 28 Apr 2007
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.
Keywords: Volatility, capital growth, investment, constant proportions strategies
JEL Classification: G00
Suggested Citation: Suggested Citation
Dempster, M. A. H. and Evstigneev, Igor V. and Schenk-Hoppé, Klaus Reiner, The Joy of Volatility. FINRISK Working Paper No. 374, Available at SSRN: https://ssrn.com/abstract=983112 or http://dx.doi.org/10.2139/ssrn.983112
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