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Why we should not make mean log of wealth big though years to act are long


  • Samuelson, Paul A.


He who acts in N plays to make his mean log of wealth as big as it can be made will, with odds that go to one as N soars, beat me who acts to meet my own tastes for risk…
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  • Samuelson, Paul A., 1979. "Why we should not make mean log of wealth big though years to act are long," Journal of Banking & Finance, Elsevier, vol. 3(4), pages 305-307, December.
  • Handle: RePEc:eee:jbfina:v:3:y:1979:i:4:p:305-307

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    References listed on IDEAS

    1. Jaffee, Dwight M & Modigliani, Franco, 1969. "A Theory and Test of Credit Rationing," American Economic Review, American Economic Association, vol. 59(5), pages 850-872, December.
    2. Baltensperger, Ernst, 1978. "Credit Rationing: Issues and Questions," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 10(2), pages 170-183, May.
    3. Harrison, J. Michael & Kreps, David M., 1979. "Martingales and arbitrage in multiperiod securities markets," Journal of Economic Theory, Elsevier, vol. 20(3), pages 381-408, June.
    4. John Lintner, 1976. "Interest Rate Expectations and Optimal Forward Commitments for Institutional Investors," NBER Chapters,in: Explorations in Economic Research, Volume 3, number 4, pages 1-76 National Bureau of Economic Research, Inc.
    5. Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters,in: Theory Of Valuation, chapter 8, pages 229-288 World Scientific Publishing Co. Pte. Ltd..
    6. Stiglitz, Joseph E & Weiss, Andrew, 1981. "Credit Rationing in Markets with Imperfect Information," American Economic Review, American Economic Association, vol. 71(3), pages 393-410, June.
    7. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    8. Rothschild, Michael & Stiglitz, Joseph E., 1970. "Increasing risk: I. A definition," Journal of Economic Theory, Elsevier, vol. 2(3), pages 225-243, September.
    9. Dwight M. Jaffee & Thomas Russell, 1976. "Imperfect Information, Uncertainty, and Credit Rationing," The Quarterly Journal of Economics, Oxford University Press, vol. 90(4), pages 651-666.
    10. Niehans, Jurg & Hewson, John, 1976. "The Eurodollar Market and Monetary Theory," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 8(1), pages 1-27, February.
    11. Campbell, Tim S, 1978. "A Model of the Market for Lines of Credit," Journal of Finance, American Finance Association, vol. 33(1), pages 231-244, March.
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    Cited by:

    1. Zambrano, Eduardo, 2014. "Subtle price discrimination and surplus extraction under uncertainty," Journal of Mathematical Economics, Elsevier, vol. 52(C), pages 153-161.
    2. Andrew B. Abel & N. Gregory Mankiw & Lawrence H. Summers & Richard J. Zeckhauser, 1989. "Assessing Dynamic Efficiency: Theory and Evidence," Review of Economic Studies, Oxford University Press, vol. 56(1), pages 1-19.
    3. John Y. Campbell, 2016. "Restoring Rational Choice: The Challenge of Consumer Financial Regulation," American Economic Review, American Economic Association, vol. 106(5), pages 1-30, May.
    4. Traian A. Pirvu & Gordan Zitkovic, 2007. "Maximizing the Growth Rate under Risk Constraints," Papers 0706.0480,
    5. Kardaras, Constantinos, 2010. "Numéraire-invariant preferences in financial modeling," LSE Research Online Documents on Economics 44993, London School of Economics and Political Science, LSE Library.
    6. Traian A. Pirvu & Gordan Žitković, 2009. "Maximizing The Growth Rate Under Risk Constraints," Mathematical Finance, Wiley Blackwell, vol. 19(3), pages 423-455.
    7. Constantinos Kardaras, 2009. "Num\'{e}raire-invariant preferences in financial modeling," Papers 0903.3736,, revised Nov 2010.
    8. Sancetta, A., 2007. "Online Forecast Combination for Dependent Heterogeneous Data," Cambridge Working Papers in Economics 0718, Faculty of Economics, University of Cambridge.
    9. Baldeaux Jan & Ignatieva Katja & Platen Eckhard, 2014. "A tractable model for indices approximating the growth optimal portfolio," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(1), pages 1-21, February.
    10. Constantinos Kardaras & Jan Obloj & Eckhard Platen, 2012. "The numeraire property and long-term growth optimality for drawdown-constrained investments," Papers 1206.2305,, revised Nov 2012.
    11. Scholz, Peter, 2012. "Size matters! How position sizing determines risk and return of technical timing strategies," CPQF Working Paper Series 31, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF).
    12. Zeckhauser Richard, 2006. "Investing in the Unknown and Unknowable," Capitalism and Society, De Gruyter, vol. 1(2), pages 1-41, September.
    13. Robert H. Trent & Robert S. Kemp, 1984. "The Writings Of Henry A. Latané: A Compilation And Analysis," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 7(2), pages 161-174, June.
    14. Eckhard Platen, 2005. "Investments for the Short and Long Run," Research Paper Series 163, Quantitative Finance Research Centre, University of Technology, Sydney.
    15. Andrei N. Soklakov, 2015. "Why Quantitative Structuring?," Papers 1507.07219,, revised Jun 2017.
    16. Yong, Luo & Bo, Zhu & Yong, Tang, 2013. "Dynamic optimal capital growth with risk constraints," Economic Modelling, Elsevier, vol. 30(C), pages 586-594.
    17. David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2016. "Down-Side Risk Metrics as Portfolio Diversification Strategies across the Global Financial Crisis," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 9(2), pages 1-18, June.

    More about this item

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • L83 - Industrial Organization - - Industry Studies: Services - - - Sports; Gambling; Restaurants; Recreation; Tourism
    • P45 - Economic Systems - - Other Economic Systems - - - International Linkages
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • C54 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Quantitative Policy Modeling


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