Keywords
PortfolioFallacyEfficient frontierLimit (mathematics)Expected utility hypothesisLogarithmMathematicsCentral limit theoremMathematical economicsNormal distributionVariance (accounting)EconometricsEconomicsStatisticsFinancial economics
Related Publications
The “Fallacy” of Maximizing the Geometric Mean in Long Sequences of Investing or Gambling
Because the outcomes of repeated investments or gambles involve products of variables, authorities have repeatedly been tempted to the belief that, in a long sequence, maximizat...
An Analytic Derivation of the Efficient Portfolio Frontier
The characteristics of the mean-variance, efficient portfolio frontier have been discussed at length in the literature. However, for more than three assets, the general approach...
Mean‐Variance Spanning
ABSTRACT The authors propose a likelihood‐ratio test of the hypothesis that the minimum‐variance frontier of a set of K assets coincides with the frontier of this set and anothe...
A Test of the Efficiency of a Given Portfolio
A test for the ex ante efficiency of a given portfolio of assets is analyzed. The relevant statistic has a tractable small sample distribution. Its power function is derived and...
Theory of Option Strategy Under Risk Aversion
We shall investigate the problem of optimal exercising strategy for option holders for the case in which option holders are averse to risk. A model of stock price changes incorp...
Publication Info
- Year
- 1974
- Type
- article
- Volume
- 1
- Issue
- 1
- Pages
- 67-94
- Citations
- 274
- Access
- Closed
External Links
Social Impact
Altmetric
PlumX Metrics
Social media, news, blog, policy document mentions
Citation Metrics
274
OpenAlex
Cite This
Robert C. Merton,
Paul A. Samuelson
(1974).
Fallacy of the log-normal approximation to optimal portfolio decision-making over many periods.
Journal of Financial Economics
, 1
(1)
, 67-94.
https://doi.org/10.1016/0304-405x(74)90009-9
Identifiers
- DOI
- 10.1016/0304-405x(74)90009-9