Portfolio Theory, Information Theory and Tsallis Statistics
Statistical Finance
2019-10-24 v2
Abstract
We developed a strategic of optimal portfolio based on information theory and Tsallis statistics. The growth rate of a stock market is defined by using -deformed functions and we find that the wealth after n days with the optimal portfolio is given by a -exponential function. In this context, the asymptotic optimality is investigated on causal portfolios, showing advantages of the optimal portfolio over an arbitrary choice of causal portfolios. Finally, we apply the formulation in a small number of stocks in brazilian stock market and analyzed the results.
Keywords
Cite
@article{arxiv.1811.07237,
title = {Portfolio Theory, Information Theory and Tsallis Statistics},
author = {Marco A. S. Trindade and Sergio Floquet and Lourival M. S. Filho},
journal= {arXiv preprint arXiv:1811.07237},
year = {2019}
}
Comments
17 pages