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A Comparison of Growth Optimal and Mean Variance Investment Policies

Robert R. Grauer

Journal of Financial and Quantitative Analysis · 1981 · Volume 16 · Issue 1

DOI: 10.2307/2330663

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.

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