- Tytuł:
- Optimal Portfolio under Non-Extensive Statistical Mechanics and Value-at-Risk Constraints
- Autorzy:
-
Zhao, Pan
Wang, Jixia
Song, Yu - Powiązania:
- https://bibliotekanauki.pl/articles/1029999.pdf
- Data publikacji:
- 2018-05
- Wydawca:
- Polska Akademia Nauk. Instytut Fizyki PAN
- Tematy:
-
Tsallis entropy
q-Gaussian distribution
value-at-risk
optimal portfolio - Opis:
- In this study, we consider the optimal portfolio selection problem with a value-at-risk constraint in the non-extensive statistical mechanics framework. We propose a portfolio selection model, which is suitable not only for normal return distributions, but also for non-normal return distributions. Using Chinese stock data, under the normal and q-Gaussian return distributions, we provide empirical results. The results indicate that portfolio selections under the q-Gaussian return distributions are considerably different from those under the normal return distributions. Moreover, by using the q-Gaussian distribution, the underestimated portfolio risk can be effectively avoided.
- Źródło:
-
Acta Physica Polonica A; 2018, 133, 5; 1170-1173
0587-4246
1898-794X - Pojawia się w:
- Acta Physica Polonica A
- Dostawca treści:
- Biblioteka Nauki
Artykuł