Modern portfolio theory regards the return of an asset as its upside, while volatilityis seen as its downside. This view is shared by the majority of investors who dislikevolatile markets. Recent results in financial mathematics, however, show thatvolatility is actually good, rather than bad,...

We show that the volatility of a price process, which is usuallyregarded as an impediment to financial growth, can serve as an en-dogenous factor in its acceleration.

The paper examines a dynamic model of a financial market with endogenous asset prices determined by short run equilibrium of supply and demand. Assets pay dividends that are partially consumed and partially reinvested. The traders use fixed-mix investment strategies (portfolio rules),...

Von Neumann’s [60] model of an expanding economy, generalized by Gale [30],was one of the first models in Mathematical Economics that served as thebasis for a rich and interesting theory. This theory was developed for the mostpart in the 1950s and 1960s. Substantial contributions to it were...

In this paper we study 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, in a stationary financial market. We prove that any mixed...

In this paper we analyze the long-run dynamics of the market selection process among simple trading strategies in an incomplete asset market with endogenous prices. We identify a unique surviving financial trading strategy. Investors following this strategy asymptotically gather total market...

The paper analyzes the long-run performance of dynamic investment strategies based on fixed-mix portfolio rules. Such rules prescribe rebalancing the portfolio by transferring funds between its positions according to fixed (timeindependent) proportions. The focus is on asset markets where prices...

The paper analyzes the process of market selection of investment strategies in an incomplete market of short-lived assets. In the model under study, asset payos depend on exogenous random factors. Market participants use dynamic investment strategies taking account of available information about...

In this paper we analyze the long-run dynamics of the market selection process among simple trading strategies in an incomplete asset market with endogenous prices. We identify a unique surviving financial trading strategy. Investors following this strategy asymptotically gather total market...

The paper examines questions of local asymptotic stability of randomdynamical systems. Results concerning stochastic dynamics ingeneral metric spaces, as well as in Banach spaces, are obtained. Theresults pertaining to Banach spaces are based on the linearization ofthe systems under study. The...