| Article ID: | iaor19911836 |
| Country: | Switzerland |
| Volume: | 31 |
| Start Page Number: | 501 |
| End Page Number: | 510 |
| Publication Date: | Apr 1991 |
| Journal: | Annals of Operations Research |
| Authors: | MaClean L.C., Ziemba W.T. |
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.