Given a certain stock level extensive quantity and a portfolio, we can aggregate the stock quantities across the holdings of the portfolio. The extensive quantity can be profits, assets, dividends, carbon emissions etc. We can then study its dynamics at the portfolio level over a certain time...

I investigate the volatility pumping intuition in a simple discrete time version of Luenberger[1998]. The literature argues that investors can benefit from volatility by rebalancing positions to constant weights, thereby trading against past returns. I analyze the pay-off of the trading policy...