A Comparison of Growth Optimal and Mean Variance Investment Policies

Robert R. Grauer

Journal of Financial and Quantitative Analysis, 1981, vol. 16, issue 1, 1-21

Abstract: 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.

Date: 1981
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