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A Strategy Which Maximizes the Geometric Mean Return on Portfolio Investments
10 references·0 citing·41 second hop
A Strategy Which Maximizes the Geometric Mean Return on Portfolio Investments (1977)A Strategy Which Maximizes the Geometric …Portfolio Choice and the Kelly Criterion**This research was supported in part by the Air Force Office of Scientific Research under Grant AF-AFOSR 1870A. An expanded version of this paper will be submitted for publication elsewhere. (1975)Portfolio Choice and the Kell…Note—On the Maximization of the Geometric Mean with Lognormal Return Distribution (1974)Note—On the Maximization of t…Necessary and sufficient conditions for existence of an optimal portfolio (1974)Necessary and sufficient cond…Calculation of Investment Portfolios with Risk Free Borrowing and Lending (1974)Calculation of Investment Por…Theory of Financial Markets. (1973)Theory of Financial Markets.EVIDENCE ON THE “GROWTH‐OPTIMUM” MODEL (1973)EVIDENCE ON THE “GROWTH‐OPTIM…Capital Growth and the Mean-Variance Approach to Portfolio Selection (1971)Capital Growth and the Mean-V…The structure of investor preferences and asset returns, and separability in portfolio allocation: A contribution to the pure theory of mutual funds (1970)The structure of investor pre…Investment policies for expanding businesses optimal in a long‐run sense (1960)Investment policies for expan…Criteria for Choice Among Risky Ventures (1959)Criteria for Choice Among Ris…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Optimization Problems in the Theory of Continuous Trading (1989)Theory of rational option pricing (2005)A Benchmark Approach to Quantitative Finance (2006)Robust Median Reversion Strategy for Online Portfolio Selection (2016)Liquidity Preference as Behavior Towards Risk (1958)Risk Aversion in the Small and in the Large (1964)An Intertemporal Capital Asset Pricing Model (1973)Risk Aversion in the Small and in the Large (1976)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)Risk, Return, and Equilibrium: Empirical Tests (1973)THE DEMAND FOR RISKY ASSETS (1977)What Is the Expected Return on the Market? (2016)Optimum consumption and portfolio rules in a continuous-time model (1971)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)The variation of certain speculative prices (1997)Geometric Mean Maximization: An Overlooked Portfolio Approach? (2010)OPTIMAL PORTFOLIO SEARCH USING EFFICIENT SURFACE AND THREE-DIMENSIONAL UTILITY FUNCTION / OPTIMALAUS PORTFELIO PARINKIMAS PANAUDOJANT EFEKTYVIUOSIUS PAVIRŠIUS IR TRIMATĘ NAUDINGUMO FUNKCIJA (2011)On the History of the Growth-Optimal Portfolio (2012)Portfolio Selection: Efficient Diversification of Investments (1959)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)ADMISSIBLE PORTFOLIOS FOR ALL INDIVIDUALS (1976)Mis-Specifications in Portfolio Selection Problems (1984)Chapter 3 Capital growth theory (1995)Theory of Games and Economic Behavior (1945)An equilibrium model of the international capital market (1974)An Empirical Investigation of the Arbitrage Pricing Theory (1980)Theory of games and economic behavior (2019)An Analysis of the Principal-Agent Problem (1983)Optimal Incentive Schemes with Many Agents (1984)An Analysis of the Principal-Agent Problem (1992)Prices of State-Contingent Claims Implicit in Option Prices (1978)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Strategic Factor Markets: Expectations, Luck, and Business Strategy (1986)Daniel Bernoulli (1738): evolution and economics under risk (2000)Capital Markets: Theory and Evidence (2003)Survival and Long-Run Dynamics with Heterogeneous Beliefs under Recursive Preferences (2019)Effectuation, Causation, and Bricolage: A Behavioral Comparison of Emerging Theories in Entrepreneurship Research (2012)
this work references cited by second hop

References

  • 1970The structure of investor preferences and asset returns, and separability in portfolio allocation: A contribution to the pure theory of mutual funds434 cited
  • 1959Criteria for Choice Among Risky Ventures401 cited
  • 1971Capital Growth and the Mean-Variance Approach to Portfolio Selection199 cited
  • 1973Theory of Financial Markets.162 cited
  • 1975Portfolio Choice and the Kelly Criterion**This research was supported in part by the Air Force Office of Scientific Research under Grant AF-AFOSR 1870A. An expanded version of this paper will be submitted for publication elsewhere.144 cited
  • 1960Investment policies for expanding businesses optimal in a long‐run sense117 cited
  • 1974Calculation of Investment Portfolios with Risk Free Borrowing and Lending82 cited
  • 1973EVIDENCE ON THE “GROWTH‐OPTIMUM” MODEL81 cited
  • 1974Necessary and sufficient conditions for existence of an optimal portfolio56 cited
  • 1974Note—On the Maximization of the Geometric Mean with Lognormal Return Distribution56 cited

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