Optimal Geometric Mean Returns of Stocks and Their Options

Table 2

Optimal fractions and Geometric mean returns (continuous case).

𝜇	𝑙^𝑠opt	𝑙^𝑜opt	log(𝐺^𝑠opt)	log(𝐺^𝑜opt)	𝐺^𝑠opt	𝐺^𝑜opt
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