PL EN


2009 | 56 | 1 | 1-18
Article title

EMPIRICAL ANALYSIS OF LOG-OPTIMAL PORTFOLIOS (Logoptimalis portfoliok empirikus vizsgalata)

Title variants
Languages of publication
HU
Abstracts
EN
The optimal properties of log-optimal strategies have been proved theoretically, but it has still not been shown whether log-optimal portfolios can achieve higher returns than the expected equilibrium. The main purpose of the paper, besides introducing some mathematically prosperous properties, is to investigate the justification for log-optimal strategies empirically. The authors' main results are relief of the strict conditions of the mathematical model, by analytical rejection of the transaction cost-free trading opportunity, and the outcomes of a long-term test that shows empirically how the proposed methods can successfully explore arbitrage opportunities based on the Capital Asset Pricing Model. Data from the New York Stock Exchange was used for testing purposes.
Keywords
Year
Volume
56
Issue
1
Pages
1-18
Physical description
Document type
ARTICLE
Contributors
author
author
author
  • Mihaly Ormos, no address given, contact the journal editor
References
Document Type
Publication order reference
Identifiers
CEJSH db identifier
10HUAAAA078717
YADDA identifier
bwmeta1.element.78c9f6d6-b4cc-3aa3-9d63-247706cf9fc9
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