Deformed exponentials and portfolio selection

被引：5

作者：

Rodrigues, Ana Flavia P. ^{[1
]}

Guerreiro, Igor M. ^{[1
]}

Cavalcante, Charles Casimiro ^{[1
]}

机构：

[1] Univ Fed Ceara, Teleinformat Engn Dept, Campus Pici,Bloco 722,CP 6005, BR-60440900 Fortaleza, Ceara, Brazil

来源：

INTERNATIONAL JOURNAL OF MODERN PHYSICS C | 2018年 / 29卷 / 03期

关键词：

Deformed exponential; q-Gaussian; portfolio selection; mean-divergence model; STATISTICAL-MECHANICS; FAMILIES; GEOMETRY; LOGARITHMS;

D O I：

10.1142/S0129183118500298

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

In this paper, we present a method for portfolio selection based on the consideration on deformed exponentials in order to generalize the methods based on the gaussianity of the returns in portfolio, such as the Markowitz model. The proposed method generalizes the idea of optimizing mean-variance and mean-divergence models and allows a more accurate behavior for situations where heavy-tails distributions are necessary to describe the returns in a given time instant, such as those observed in economic crises. Numerical results show the proposed method outperforms the Markowitz portfolio for the cumulated returns with a good convergence rate of the weights for the assets which are searched by means of a natural gradient algorithm.

引用

页数：17

共 43 条

[21] Hessian structures on deformed exponential families and their conformal structures [J].