### Abstract

One of the classic observations in investment theory is that maximizing the expected-log-return of a portfolio results in the greatest long-term growth of wealth. The log-optimal portfolio is both competitively optimal and pathwise dominant. Nevertheless, investment researchers and practitioners don't all latch on to the log-optimal doctrine, even for theoretical guidance. A common alternative is to use a utility function to evaluate an investment strategy. At first glance it seems that any (non-decreasing) utility function would point to the log-optimal portfolio, at least in the limit. This is known not to be the case. In this work we identify sufficient conditions on a utility function that will produce a happy marriage between utility theory and optimal growth-rate of wealth.

Original language | English (US) |
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Title of host publication | 2012 Information Theory and Applications Workshop, ITA 2012 - Conference Proceedings |

Pages | 62-63 |

Number of pages | 2 |

DOIs | |

State | Published - May 7 2012 |

Event | 2012 Information Theory and Applications Workshop, ITA 2012 - San Diego, CA, United States Duration: Feb 5 2012 → Feb 10 2012 |

### Publication series

Name | 2012 Information Theory and Applications Workshop, ITA 2012 - Conference Proceedings |
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### Other

Other | 2012 Information Theory and Applications Workshop, ITA 2012 |
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Country | United States |

City | San Diego, CA |

Period | 2/5/12 → 2/10/12 |

### All Science Journal Classification (ASJC) codes

- Computer Science Applications
- Information Systems

## Cite this

*2012 Information Theory and Applications Workshop, ITA 2012 - Conference Proceedings*(pp. 62-63). [6181818] (2012 Information Theory and Applications Workshop, ITA 2012 - Conference Proceedings). https://doi.org/10.1109/ITA.2012.6181818