A projection pricing model for non-Gaussian financial returns

DOI10.1016/J.PHYSA.2019.122181OpenAlexW2968423376MaRDI QIDQ2163715

Ana Flávia P. Rodrigues, Vicente L. Crisóstomo, Charles Casimiro Cavalcante

Publication date: 10 August 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2019.122181

zbMATH Keywords

optimal portfolioinformation geometryCAPMmean-divergence model

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Related Items (1)

Conditions for the existence of a generalization of Rényi divergence

Cites Work

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