34 Pages Posted: 28 Sep 2009 Last revised: 14 Dec 2009
Date Written: November 6, 2009
This chapter surveys theoretical research on the long-term performance of fixed-mix investment strategies. These self-financing strategies rebalance the portfolio over time so as to keep constant the proportions of wealth invested in various assets. The main result is that wealth can be grown from volatility. Our findings demonstrate the benefits of active portfolio management and the potential of financial engineering.
Keywords: Volatility, Constant proportions strategies, Fixed-mix strategies, Financial markets, Investment, Exponential growth, Transaction costs
JEL Classification: G11
Suggested Citation: Suggested Citation
Dempster, M. A. H. and Evstigneev, Igor V. and Schenk-Hoppé, Klaus Reiner, Growing Wealth with Fixed-Mix Strategies (November 6, 2009). Swiss Finance Institute Research Paper No. 09-37. Available at SSRN: https://ssrn.com/abstract=1479444 or http://dx.doi.org/10.2139/ssrn.1479444