Financial portfolios based on Tsallis relative entropy as the risk measure

DOI10.1088/1742-5468/ab3bc5zbMath1456.91115arXiv1901.04945OpenAlexW3105837819MaRDI QIDQ5131513

Sandhya Devi

Publication date: 8 November 2020

Published in: Journal of Statistical Mechanics: Theory and Experiment (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1901.04945

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Computational methods for problems pertaining to probability theory (60-08) Portfolio theory (91G10)

Cites Work

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