英文标题：
《Portfolio Theory, Information Theory and Tsallis Statistics》
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作者：
Marco A. S. Trindade, Sergio Floquet and Lourival M. S. Filho
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最新提交年份：
2019
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英文摘要：
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 $q$-deformed functions and we find that the wealth after n days with the optimal portfolio is given by a $q$-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 $[B]^{3}$ and analyzed the results.
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中文摘要：
基于信息论和Tsallis统计，我们提出了一种最优投资组合策略。通过使用$q$变形函数定义股票市场的增长率，我们发现，具有最优投资组合的n天后的财富是由$q$指数函数给出的。在此背景下，对因果投资组合的渐近最优性进行了研究，表明最优投资组合优于任意选择的因果投资组合。最后，我们将该公式应用于巴西股市的少量股票，并对结果进行了分析。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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