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Evidence On The “Growth-Optimum” Model

In: THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE

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  • RICHARD ROLL

Abstract

The following sections are included:INTRODUCTIONA TEST STATISTIC FOR THE GROWTH-OPTIMUM MODELA SIMPLE TEST OF THE GROWTH-OPTIMUM MODEL'S BASIC VALIDITYRELATIONS BETWEEN THE GROWTH-OPTIMUM AND THE SHARPE-LINTNER MODELSSUMMARY AND CONCLUSIONSREFERENCES

Suggested Citation

  • Richard Roll, 2011. "Evidence On The “Growth-Optimum” Model," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 10, pages 125-140, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814293501_0010
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