Geometric Mean Maximization: An Overlooked Portfolio Approach?

@article{Estrada2010GeometricMM,
  title={Geometric Mean Maximization: An Overlooked Portfolio Approach?},
  author={Javier Estrada},
  journal={The Journal of Investing},
  year={2010},
  volume={19},
  pages={134-147}
}
Academics and practitioners usually optimize portfolios on the basis of mean and variance. They set the goal of maximizing risk-adjusted returns measured by the Sharpe ratio and thus determine their optimal exposures to the assets considered. However, there is an alternative criterion that has an equally plausible underlying idea. Geometric mean maximization aims to maximize the growth of the capital invested, thus seeking to maximize terminal wealth. This criterion has several attractive… Expand
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