Ergodicity Economics and the High Beta Conundrum

10 Pages Posted: 20 Mar 2021

Date Written: February 11, 2021


Using Ergodicity Economics this paper shows that terminal wealth maximizing portfolios have betas that are substantially higher than the market portfolio (beta = 1). Simulations indicate that uncertainty about the future distribution of returns and the high cost of over-betting could be limiting factors to implementing such high beta portfolios. Another possibility is that investors do care about risk and are trying to maximize some form of risk adjusted growth rate.

Keywords: Ergodicity Economics, wealth maximization, growth rate, stochastic, beta, finance, leverage, risk

JEL Classification: C00, G00, G11

Suggested Citation

Harckbart, Gustavo, Ergodicity Economics and the High Beta Conundrum (February 11, 2021). Available at SSRN: or

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