Abstract
In this paper, we empirically verify the optimal portfolio schemes for the log-utility investor under incomplete information which converge to the optimal portfolio maximizing the expected log-utility under complete information. That is, our main interest lies in examining whether these schemes really attain the above desired properties, in the NYSE/AMEX stock market. With these properties regarded as performance measures, our empirical research is executed through a sensitivity analysis with transaction costs. Moreover, we show the interesting character of the U.S. stock market exhibited through the analysis.
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Ishijima, H. An Empirical Analysis on Log-Utility Asset Management. Asia-Pacific Financial Markets 6, 253–273 (1999). https://doi.org/10.1023/A:1010076022308
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DOI: https://doi.org/10.1023/A:1010076022308