Portfolio theory, information theory and Tsallis statistics

Marco A.S. Trindade, Sergio Floquet and Lourival M. Silva Filho

Physica A: Statistical Mechanics and its Applications, 2020, vol. 541, issue C

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 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.

Keywords: Econophysics; Stock market and portfolio theory; Nonextensive theory and q-Gaussians (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:541:y:2020:i:c:s0378437119318370

DOI: 10.1016/j.physa.2019.123277

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