Geometric Mean Maximization : An Overlooked Portfolio Approach ?

@inproceedings{Estrada2009GeometricMM,
  title={Geometric Mean Maximization : An Overlooked Portfolio Approach ?},
  author={Javier Estrada},
  year={2009}
}
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… CONTINUE READING

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