Portfolio selection problem with liquidity constraints under non-extensive statistical mechanics

DOI10.1016/J.CHAOS.2015.10.026MaRDI QIDQ508870zbMATH OpenOpenAlexFDO

Authors Pan Zhao, Qingxian Xiao

Publication date 8 February 2017

Published in Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.chaos.2015.10.026

zbMATH Keywords

\(q\)-Gaussian distributiondynamic programmingnon-extensive statisticsoptimal portfolio

Mathematics Subject Classification ID

Dynamic programming (90C39) Portfolio theory (91G10) Numerical methods (including Monte Carlo methods) (91G60)

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• scientific article; zbMATH DE number 5002005

Cites work

• A duality method for optimal consumption and investment under short- selling prohibition. I: General market coefficients
• A non-Gaussian option pricing model with skew
• A theory of non‐Gaussian option pricing
• Dynamic mean-variance portfolio selection with borrowing constraint
• Empirical properties of asset returns: stylized facts and statistical issues
• Modeling fat tails in stock returns: a multivariate stable-GARCH approach
• On non-Gaussianity and dependence in financial time series: a nonextensive approach
• Optimal consumption and portfolio choice with borrowing constraints
• Optimal portfolio on tracking the expected wealth process with liquidity constraints
• Optimal portfolio policies with borrowing and shortsale constraints
• Optimum consumption and portfolio rules in a continuous-time model
• Possible generalization of Boltzmann-Gibbs statistics.

Cited in

(8)

• Spin glasses and nonlinear constraints in portfolio optimization
• Optimal investment problem under non-extensive statistical mechanics
• Multi-period portfolio selection with mental accounts and realistic constraints based on uncertainty theory
• Portfolio selection problem with nonlinear wealth equations under non-extensive statistical mechanics for time-varying SDE
• Optimal consumption-portfolio problem with CVaR constraints
• Portfolio selection based on a benchmark process with dynamic value-at-risk constraints
• Portfolio optimization: a mean field theory approach
• Portfolio selection problem with value-at-risk constraints under non-extensive statistical mechanics

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