AbstractGrowth maximization as a criterion for multiperiod portfolio selection implies zero consumption before the planning horizon. To allow for intermediate consumption in this paper growth maximization is generalized by the condition that the initial portfolio value follows a given growth pattern. It is shown that a solution can be found by solving an appropriate nonlinear optimization problem. The analysis is carried out under conditions of certainty and uncertainty.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Quantitative Finance.
Volume (Year): 2 (2002)
Issue (Month): 2 ()
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Web page: http://www.tandfonline.com/RQUF20
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- Hellwig, Klaus, 2005. "Sustainability revisited," Economics Letters, Elsevier, vol. 87(2), pages 193-197, May.
- Hellwig, Klaus, 2007. "The creation of wealth," Finance Research Letters, Elsevier, vol. 4(3), pages 172-178, September.
- Hellwig, Klaus, 2004. "Portfolio selection subject to growth objectives," Journal of Economic Dynamics and Control, Elsevier, vol. 28(10), pages 2119-2128, September.
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