Dynamic Asset Allocation Strategies Based on Unexpected Volatility

2013 ◽  
Author(s):  
Valeriy Zakamulin
Keyword(s):  
Asset Allocation ◽  
Dynamic Asset Allocation ◽  
Allocation Strategies

scholarly journals FROM RAGS TO RICHES: ON CONSTANT PROPORTIONS INVESTMENT STRATEGIES

2002 ◽  
Vol 05 (06) ◽  
pp. 563-573 ◽  
Author(s):  
IGOR V. EVSTIGNEEV ◽  
KLAUS REINER SCHENK-HOPPÉ
Keyword(s):  
Financial Market ◽  
Asset Allocation ◽  
Trading Strategies ◽  
Investment Strategies ◽  
Exponential Rate ◽  
Dynamic Asset Allocation ◽  
Stationary Stochastic Processes ◽  
Fixed Constant ◽  
Allocation Strategies ◽  
Constant Prices

This paper studies the performance of self-financing constant proportions trading strategies, i.e. dynamic asset allocation strategies that keep a fixed constant proportion of wealth invested in each asset in all periods in time. We prove that any self-financing constant proportions strategy yields a strictly positive exponential rate of growth of investor's wealth in a financial market in which prices are described by stationary stochastic processes and the price ratios are non-degenerate. This result might be regarded as being counterintuitive because any such strategy yields no increase of wealth under constant prices. We further show that the result also holds under small transaction costs, which is important for the viability of this approach, since constant proportions strategies require frequent rebalancing of the portfolio.

Dynamic Asset Allocation

1987 ◽  
Vol 1987 (1) ◽  
pp. 82-85, 93
Author(s):  
H. Gifford Fong
Keyword(s):  
Asset Allocation ◽  
Dynamic Asset Allocation
Sign in / Sign up

Export Citation Format

Share Document