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Logoptimális portfóliók empirikus vizsgálata
[Empirical analysis of log-optimal portfolios]

Author

Listed:
  • Ormos, Mihály
  • Urbán, András
  • Zoltán, Tamás

Abstract

A logoptimális portfólióelmélet matematikai bizonyítását, valamint empirikus vizsgálatait követően még mindig nem kaptunk választ arra a kérdésre, hogy a stratégia alapján várható hozam mennyivel haladja meg a pénzügyekben egyszerűen csak egyensúlyinak nevezett várható hozamot. E tanulmány alapjául szolgáló kutatás alapvető célja, hogy a matematikai bizonyításon túl olyan empirikus igazolását is adja az említett stratégiának, amely igazolja annak létjogosultságát. A dolgozat legfontosabb eredménye egyrészt az eddig alkalmazott peremfeltételek egyikének, a tranzakciós költségtől mentes kereskedés feltételezésének analitikus elvetése, és a modell ezzel kiegészített újrafogalmazása, másrészt az empirikus vizsgálat, amely a CAPM modellre építve igazolja a kereskedési stratégiában rejlő arbitrázslehetőséget. A vizsgálatokhoz a New York-i tőzsde adatbázisát használtuk. Journal of Economic Literature (JEL) kód: G11.

Suggested Citation

  • Ormos, Mihály & Urbán, András & Zoltán, Tamás, 2009. "Logoptimális portfóliók empirikus vizsgálata [Empirical analysis of log-optimal portfolios]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(1), pages 1-18.
    • Handle: RePEc:ksa:szemle:1069
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    References listed on IDEAS

    as
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    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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