Research Article
Optimal Geometric Mean Returns of Stocks and Their Options
Table 2
Optimal fractions and Geometric mean returns (continuous case).
| | | | | | | |
| 0.05 | .21 | .05 | 0.099 | .098 | 1.104 | 1.103 | 0.1 | .53 | .15 | .117 | .113 | 1.124 | 1.120 | 0.15 | .85 | .25 | .151 | .143 | 1.163 | 1.154 |
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