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A Comparison of Growth Optimal and Mean Variance Investment Policies

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  • Grauer, Robert R.

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.

Suggested Citation

  • Grauer, Robert R., 1981. "A Comparison of Growth Optimal and Mean Variance Investment Policies," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 16(1), pages 1-21, March.
    • Handle: RePEc:cup:jfinqa:v:16:y:1981:i:01:p:1-21_00
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    Cited by:

    1. Michael W. Brandt & Amit Goyal & Pedro Santa-Clara & Jonathan R. Stroud, 2005. "A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability," The Review of Financial Studies, Society for Financial Studies, vol. 18(3), pages 831-873.
    2. Elena Vigna, 2009. "Mean-variance inefficiency of CRRA and CARA utility functions for portfolio selection in defined contribution pension schemes," Carlo Alberto Notebooks 108, Collegio Carlo Alberto, revised 2009.
    3. Duy Khanh Lam, 2024. "Mean-Variance Portfolio Selection in Long-Term Investments with Unknown Distribution: Online Estimation, Risk Aversion under Ambiguity, and Universality of Algorithms," Papers 2406.13486, arXiv.org.
    4. Ottucsák György & Vajda István, 2007. "An asymptotic analysis of the mean-variance portfolio selection," Statistics & Risk Modeling, De Gruyter, vol. 25(1), pages 63-86, January.

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