Portfolio theory, information theory and Tsallis statistics

DOI10.1016/j.physa.2019.123277OpenAlexW2981768563WikidataQ127026156 ScholiaQ127026156MaRDI QIDQ2137589

Sergio Floquet, Lourival M. Silva Filho, Marco A. S. Trindade

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)

Uses Software

• R
• DEoptim
• pracma
• Cubature
• GetHFData

Cites Work

• Unnamed Item
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• Mean-variance approximations to expected utility
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• On multivariate generalizations of the q-central limit theorem consistent with nonextensive statistical mechanics
• A (ECONOPHYSICS) NOTE ON VOLATILITY IN EXCHANGE RATE TIME SERIES
• Game-Theoretic Optimal Portfolios
• A bound on the financial value of information
• Basic Elements of Computational Statistics
• A non-Gaussian option pricing model with skew
• Theory of Financial Risk and Derivative Pricing
• Introduction to Econophysics
• On option pricing models in the presence of heavy tails
• Elements of Information Theory
• Probability

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