Robust Growth-Optimal Portfolios

  title={Robust Growth-Optimal Portfolios},
  author={Napat Rujeerapaiboon and Daniel Kuhn and Wolfram Wiesemann},
  journal={Management Science},
The growth-optimal portfolio is designed to have maximum expected log-return over the next rebalancing period. Thus, it can be computed with relative ease by solving a static optimization problem. The growthoptimal portfolio has sparked fascination among finance professionals and researchers because it can be shown to outperform any other portfolio with probability 1 in the long run. In the short run, however, it is notoriously volatile. Moreover, its computation requires precise knowledge of… CONTINUE READING
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