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Volatility-induced financial growth
Authors:
Michael A. H. Dempster a;
Igor V. Evstigneev b;
Klaus R. Schenk-hopp
c
c
| Affiliations: | a Centre for Financial Research, Judge Business School, University of Cambridge, Cambridge CB2 1AG, UK |
| b School of Economic Studies, University of Manchester, Manchester M13 9PL, UK | |
| c Leeds University Business School and School of Mathematics, University of Leeds, Leeds LS2 9JT, UK |
DOI:
10.1080/14697680601103268
Publication Frequency:
8 issues per year
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Abstract
We show that the volatility of a price process, which is usually regarded as an impediment to financial growth, can serve as an endogenous factor in its acceleration.
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| Keywords: Volatility; Constant proportions strategies; Financial markets; Investment; Exponential growth; Transaction costs |
| view references (28) : view citations |
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