Portfolio theory, information theory and Tsallis statistics

DOI10.1016/J.PHYSA.2019.123277MaRDI QIDQ2137589zbMATH OpenOpenAlexWikidataFDO

Authors M. A. Trindade, Sergio Floquet, Lourival M. Silva Filho

Publication date 16 May 2022

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1811.07237

zbMATH Keywords

econophysicsnonextensive theory and \(q\)-Gaussiansstock market and portfolio theory

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites work

• A (ECONOPHYSICS) NOTE ON VOLATILITY IN EXCHANGE RATE TIME SERIES
• A bound on the financial value of information
• A non-Gaussian option pricing model with skew
• Asymptotic optimality and asymptotic equipartiton properties of log- optimum investment
• Basic elements of computational statistics
• Elements of Information Theory
• Entropic value-at-risk: a new coherent risk measure
• Game-Theoretic Optimal Portfolios
• scientific article; zbMATH DE number 2116058 (Why is no real title available?)
• Introduction to Econophysics
• Introduction to Nonextensive Statistical Mechanics
• Mean-variance approximations to expected utility
• Nonextensive statistical mechanics and economics
• On multivariate generalizations of the q-central limit theorem consistent with nonextensive statistical mechanics
• On option pricing models in the presence of heavy tails
• Portfolio optimization with entropic value-at-risk
• Portfolio selection under independent possibilistic information
• Possible generalization of Boltzmann-Gibbs statistics.
• Probability. Theory and examples.
• Theory of Financial Risk and Derivative Pricing

Cited in

(2)

• scientific article; zbMATH DE number 5014850 (Why is no real title available?)
• Portfolio optimization based on generalized information theoretic measures

Describes a project that uses

Uses Software

• R
• DEoptim
• GetHFData
• pracma
• Cubature

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