Exponential growth of fixed-mix strategies in stationary asset markets
نویسندگان
چکیده
The paper analyzes the long-run performance of dynamic investment strategies based on fixed-mix portfolio rules. Such rules prescribe rebalancing the portfolio by transferring funds between its positions according to fixed (timeindependent) proportions. The focus is on asset markets where prices fluctuate as stationary stochastic processes. Under very general assumptions, it is shown that any fixed-mix strategy in a stationary market yields exponential growth of the portfolio with probability one.
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ورودعنوان ژورنال:
- Finance and Stochastics
دوره 7 شماره
صفحات -
تاریخ انتشار 2003