Optimal investment problem under non-extensive statistical mechanics

DOI10.1016/J.CAMWA.2018.02.016MaRDI QIDQ2001307zbMATH OpenOpenAlexWikidataFDO

Authors Limin Liu, Lin Zhang, Shiqi Fan

Publication date 3 July 2019

Published in Computers & Mathematics with Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.camwa.2018.02.016

zbMATH Keywords

non-extensive statisticsoptimal investmentq-Gaussian distributionutility function

Mathematics Subject Classification ID

Utility theory (91B16) Portfolio theory (91G10) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

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Cites work

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• Portfolio selection problem with liquidity constraints under non-extensive statistical mechanics
• Portfolio selection problem with value-at-risk constraints under non-extensive statistical mechanics
• Possible generalization of Boltzmann-Gibbs statistics.

Cited in

(8)

• Spin glasses and nonlinear constraints in portfolio optimization
• The non-markovian property of q-Gaussian process
• Portfolio selection problem with nonlinear wealth equations under non-extensive statistical mechanics for time-varying SDE
• Hamilton-Jacobi-Bellman quasi-variational inequality arising in an environmental problem and its numerical discretization
• Family optimal investment strategy for a random household expenditure under the CEV model
• Optimal Utilization of Capital and a Financial Sector in a Classical Gravitation Process
• Portfolio selection problem with liquidity constraints under non-extensive statistical mechanics
• Portfolio selection problem with value-at-risk constraints under non-extensive statistical mechanics

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