LONG-TERM GROWTH IN A SHORT-TERM MARKET.

The authors examine whether the properties of growth optimal portfolio selection models are consistent with markets substantially populated by investors concerned with long-run growth. Focusing on the New York Stock Exchange, the authors employ Hotelling "T-squared" tests to conclude that the hypothesis of a market dominated by growth-optimizers cannot be rejected. In addition, evidence exists to support the notion that growth-optimal portfolios have greater risk than the market portfolio.