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Capital Growth Theory: Continued

In: Mathematical Financial Economics

Author

Listed:
  • Igor V. Evstigneev

    (University of Manchester)

  • Thorsten Hens

    (University of Zurich)

  • Klaus Reiner Schenk-Hoppé

    (University of Manchester)

Abstract

The chapter analyzes the log-optimal portfolio rule in more detail. It provides a criterion of log-optimality and develops capital growth theory for general (not necessarily simple) strategies. The highlight of the chapter is the discussion of the puzzle of endogenous financial growth in stationarity markets. The paradox of volatility-induced growth is described and the main result explaining it is proved.

Suggested Citation

  • Igor V. Evstigneev & Thorsten Hens & Klaus Reiner Schenk-Hoppé, 2015. "Capital Growth Theory: Continued," Springer Texts in Business and Economics, in: Mathematical Financial Economics, edition 127, chapter 18, pages 177-186, Springer.
    • Handle: RePEc:spr:sptchp:978-3-319-16571-4_18
    DOI: 10.1007/978-3-319-16571-4_18
    as

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