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Growing wealth with fixed-mix strategies

Author

Listed:
  • Michael A.H. DEMPSTER

    (University of Cambridge)

  • Igor V. EVSTIGNEEV

    (University of Manchester)

  • Klaus Reiner SCHENK-HOPPE

    (University of Leeds)

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-HOPPE, 2009. "Growing wealth with fixed-mix strategies," Swiss Finance Institute Research Paper Series 09-37, Swiss Finance Institute.
    • Handle: RePEc:chf:rpseri:rp0937
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    Cited by:

    1. 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, September.
    2. 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.
    3. 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.
    4. 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.
    5. Harsh V. Pant, 2013. "India in Afghanistan," Jadavpur Journal of International Relations, , vol. 17(1), pages 103-127, June.
    6. 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.

    More about this item

    Keywords

    Volatility; Constant proportions strategies; Fixed-mix strategies; Financial markets; Investment; Exponential growth; Transaction costs.;
    All these keywords.

    JEL classification:

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

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