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.
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