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Exponential growth of fixed-mix strategies in stationary asset markets |
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| Authors: | Michal A. H. Dempster Igor V. Evstigneev Klaus R. Schenk-Hoppé |
| Affiliation: | (1) Centre for Financial Research, Judge Institute of Management, University of Cambridge, Trumpington Street, Cambridge, CB2 1AG, UK (e-mail: mahd2@cam.ac.uk) , GB;(2) School of Economic Studies, University of Manchester, Oxford Road, Manchester, M13 9PL, UK (e-mail: igor.evstigneev@man.ac.uk) , GB;(3) Institute for Empirical Research in Economics, University of Zurich, Blümlisalpstrasse 10, 8006 Zürich, Switzerland (e-mail: klaus@iew.unizh.ch) , CH |
| Abstract: | |
| Keywords: | : Asset allocation, fixed-mix strategies, stationary markets, exponential growth, products of random matrices, stochastic version of the Perron– Frobenius theorem |
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