Jump to ContentJump to Main Navigation
Samuelsonian Economics and the Twenty-First Century$
Users without a subscription are not able to see the full content.

Michael Szenberg, Lall Ramrattan, and Aron A. Gottesman

Print publication date: 2006

Print ISBN-13: 9780199298839

Published to Oxford Scholarship Online: January 2009

DOI: 10.1093/acprof:oso/9780199298839.001.0001

Show Summary Details
Page of

PRINTED FROM OXFORD SCHOLARSHIP ONLINE (www.oxfordscholarship.com). (c) Copyright Oxford University Press, 2020. All Rights Reserved. An individual user may print out a PDF of a single chapter of a monograph in OSO for personal use. date: 14 July 2020

Samuelson and Investment for the Long Run

Samuelson and Investment for the Long Run

(p.252) 17 Samuelson and Investment for the Long Run
Samuelsonian Economics and the Twenty-First Century

Harry M. Markowitz

Oxford University Press

This chapter examines a debate with Samuelson regarding which criteria the long-run investor should maximize in their portfolio. It provides the example of receiving either 6% per year with certainty or a lottery with an equal chance of 200% gain or 100% log of 1 plus the returns is negative infinity (-∞). Therefore, the investor would choose the certain prospect. The chapter considers whether the long-run investor should follow the arithmetic mean or the log arithmetic (geometric mean) criteria in maximizing its portfolio. It also makes the case for the log model, although Samuelson has argued that because a prospect offers an almost certain probability that does not mean that it must yield a better expected value of utility.

Keywords:   portfolio, log arithmetic model, expected utility, conditional expectation, option pricing, warrants

Oxford Scholarship Online requires a subscription or purchase to access the full text of books within the service. Public users can however freely search the site and view the abstracts and keywords for each book and chapter.

Please, subscribe or login to access full text content.

If you think you should have access to this title, please contact your librarian.

To troubleshoot, please check our FAQs , and if you can't find the answer there, please contact us .