Optimal Geometric Mean Returns of Stocks and Their Options

Table 1

Optimal fractions and Geometric mean returns (discrete case).

𝑝	𝑙^𝑠opt	𝑙^𝑜opt	𝐺opt
0.70	.4400	.2000	1.1137
0.72	.5573	.2533	1.1223
0.74	.6747	.3067	1.1333
0.76	.7920	.3600	1.1466
0.78	.9093	.4133	1.1628
0.80	1.0267	.4667	1.1819