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Fallacy of the log-normal approximation to optimal portfolio decision-making over many periods

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Merton, Robert C.
Samuelson, Paul A.

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File URL: http://www.sciencedirect.com/science/article/B6VBX-45GNXHJ-C/2/8f2ceaa542661e98006e1457c2ed27df
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Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 1 (1974)
Issue (Month): 1 (May)
Pages: 67-94
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Handle: RePEc:eee:jfinec:v:1:y:1974:i:1:p:67-94

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  1. Stanley Fischer, 1982. "Investing for the Short and the Long Term," NBER Working Papers 0922, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  2. Ole Peters, 2009. "Optimal leverage from non-ergodicity," Quantitative Finance Papers 0902.2965, arXiv.org. [Downloadable!]
  3. Moshe Arye Milevsky, Steven E. Posner, 1998. "A theoretical investigation of randomized asset allocation strategies," Applied Mathematical Finance, Taylor and Francis Journals, vol. 5(2), pages 117-130, June. [Downloadable!] (restricted)
  4. Sciubba, E., 1999. "The Evolution of Portfolio Rules and the Capital Asset Pricing Model," Cambridge Working Papers in Economics 9909, Faculty of Economics, University of Cambridge. [Downloadable!]
    Other versions:
  5. Merton, Robert C., 1977. "On the microeconomic theory of investment under uncertainty," Working papers 958-77., Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
    Other versions:
  6. Benjamin Francis Hunt, 2002. "Growth Optimal Investment Strategy Efficacy: An Application on Long Run Australian Equity Data," Research Paper Series 86, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
  7. Dipasri Ghosh, Dilip K. Ghosh, 2006. "Portfolio Theory and Portfolio Management: a Synthetic View," Frontiers in Finance and Economics, Lille Graduate School of Management, vol. 3(2), pages 95-112, December. [Downloadable!]
  8. Merton, Robert C., 1975. "Option pricing when underlying stock returns are discontinuous," Working papers 787-75., Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
    Other versions:
  9. Joshua Rauh, 2007. "Risk Shifting versus Risk Management: Investment Policy in Corporate Pension Plans," NBER Working Papers 13240, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  10. David S. Jones & V. Vance Roley, 1981. "Bliss Points in Mean-Variance Portfolio Models," NBER Technical Working Papers 0019, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  11. Guido Caldarelli & M. Piccioni & E. Sciubba, 2000. "A Numerical Study On The Evolution Of Portfolio Rules," Computing in Economics and Finance 2000 334, Society for Computational Economics. [Downloadable!]
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