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Growing Wealth with Fixed-Mix Strategies

In: THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE

Author

Listed:
  • Michael A. H. Dempster
  • Igor V. Evstigneev
  • Klaus Reiner Schenk-Hoppé

Abstract

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.

Suggested Citation

  • Michael A. H. Dempster & Igor V. Evstigneev & Klaus Reiner Schenk-Hoppé, 2011. "Growing Wealth with Fixed-Mix Strategies," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 29, pages 427-455, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814293501_0029
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    Cited by:

    1. Xie, Y.L. & Li, Y.P. & Huang, G.H. & Li, Y.F., 2010. "An interval fixed-mix stochastic programming method for greenhouse gas mitigation in energy systems under uncertainty," Energy, Elsevier, vol. 35(12), pages 4627-4644.
    2. Fang-Fang Tang & Yongsheng Xu, 2021. "Corruption in Organizations: Some General Formulations and (In-)Corruptibility Results," Homo Oeconomicus: Journal of Behavioral and Institutional Economics, Springer, vol. 38(1), pages 49-57, December.
    3. Harsh V. Pant, 2013. "India in Afghanistan," Jadavpur Journal of International Relations, , vol. 17(1), pages 103-127, June.
    4. Jianghua Wu & Ananth Iyer & Paul V. Preckel & Xin Zhai, 2012. "Information Sharing Across Multiple Buyers In A Supply Chain," Asia-Pacific Journal of Operational Research (APJOR), World Scientific Publishing Co. Pte. Ltd., vol. 29(01), pages 1-23.
    5. Radu Tunaru, 2015. "Model Risk in Financial Markets:From Financial Engineering to Risk Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9524, December.
    6. Genus, Audley & Stirling, Andy, 2018. "Collingridge and the dilemma of control: Towards responsible and accountable innovation," Research Policy, Elsevier, vol. 47(1), pages 61-69.

    More about this item

    Keywords

    Kelly Criterion; Dynamic Investment Analysis; Capital Growth Theory; Sports Betting; Hedge Fund Strategies; Speculative Investing; Fortune 's Formula;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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