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A Comparison of Growth Optimal and Mean Variance Investment Policies

Published online by Cambridge University Press:  06 April 2009

Robert R. Grauer
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Extract

The past two decades have seen a proliferation of mathematically sophisticated portfolio selection models. Of these, the mean variance (MV), expected utility, and growth optimal (GO) models have received the bulk of attention.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 16 , Issue 1 , March 1981 , pp. 1 - 21
Copyright
Copyright © School of Business Administration, University of Washington 1981

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