Journal of Financial and Quantitative Analysis Vol. 6 No. 1 1971
Capital Growth and the Mean-Variance Approach to Portfolio Selection
Abstract
Three main approaches to the problem of portfolio selection may be discerned in the literature. The first of these is the mean-variance approach, pioneered by Markowitz [21], [22], and Tobin [30]. The second approach is that of chance-constrained programming, apparently initiated by Naslund and Whinston [26]. The third approach, Latané [19] and Breiman [6], [7], has its origin in capital growth considerations. The purpose of this paper is to contrast the mean-variance model, by far the most well-known and most developed model of portfolio selection, with the capital growth model, undoubtedly the least known. In so doing, we shall find the mean-variance model to be severely compromised by the capital growth model in several significant respects.
- DOI
- 10.2307/2330126
- Volume
- 6
- Issue
- 1
- Pages
- 517
- Sources
- openalex crossref