The growth optimal portfolio. Recall 1 = E [mR], where m is the stochastic discount factor and R is the random return of an asset. Use Jensen's inequality to show that - E [In (m)] > E [In (R)]. E [ln (R)] has an upper bound. The portfolio that maximizes E [In (R)] is called the growth optimal 1 portfolio The growth optimal portfolio. Recall 1 = E [mR], where m is the stochastic discount factor and R is the random return of an asset. Use Jensen's inequality to show that - E [In (m)] > E [In (R)]. E [ln (R)] has an upper bound. The portfolio that maximizes E [In (R)] is called the growth optimal 1 portfolio