Portfolio Growth

Overview


A competing metric to the average arithmetic return used to gauge performance is portfolio growth. Growth is a measure similar to average arithmetic return, but is instead based on the average log return.

Growth has been shown mathematically to have a number of desirable properties that the arithmetic return does not have. In particular its long run performance and its multi-period properties seem to many to be a better target for a managed portfolio.

  • CAPM and Growth

Optimal Growth and Geometric Brownian Motion


  • Portfolio of GBM Assets
  • Derivation of Weights
  • Efficient Frontier