Efficient Growth Frontier

Overview

Similar to the Mean Variance approach, the growth variance approach also has an efficient frontier. That is, if one were to plot portfolio growth versus variance, one would obtain a convex set whose boundary is the efficient frontier.

Simliar to the case of mean variance optimization, all points on the efficient frontier can be achieved as the sum of any two points on the frontier. The most commonly used portfolios are the growth optimal portfolio and the minimum variance portfolio. (where here is the variance of the log returns) (see Luenberger)