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Growth-security profiles in capital accumulation under risk

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Abstract

This paper considers the tradeoff between growth and security in the problem of capital accumulation under risk. It is shown how growth can be continuously traded for security with simple deterministic strategies generated from the optimal growth and optimal security problems. A lower bound is derived for the error resulting from the use of such strategies.

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Authors and Affiliations

  1. School of Business Administration, Dalhousie University, 6152 Coburg Road, B3H 1Z5, Halifax, Nova Scotia, Canada

    L. C. MacLean

  2. Faculty of Commerce and Business Administration, University of British Columbia, V6T 1Y8, Vancouver, British Columbia, Canada

    W. T. Ziemba

Authors
  1. L. C. MacLean
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  2. W. T. Ziemba
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MacLean, L.C., Ziemba, W.T. Growth-security profiles in capital accumulation under risk. Ann Oper Res 31, 501–509 (1991). https://doi.org/10.1007/BF02204866

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  • DOI: https://doi.org/10.1007/BF02204866

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