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- Financial portfolios based on Tsallis relative entropy as the risk . . .
In this paper, Tsallis relative entropy (TRE), which is the generalization of Kullback–Leibler relative entropy (KLRE) to non-extensive systems, is investigated as a possible risk measure in constructing risk optimal portfolios whose returns beat market returns
- Financial Portfolios based on Tsallis Relative Entropy as the Risk Measure
In this paper, Tsallis relative entropy (TRE), which is the generalization of Kullback-Leibler relative entropy (KLRE) to non-extensive systems, is investigated as a possible risk measure in constructing risk optimal portfolios whose returns beat market returns
- TSallis Relative Entropy | My Testsite 2 - entropicdynamics. com
Our back studies show that over a period of 6 years or longer, portfolios constructed managed using 'Tsallis Relative Entropy' as the risk measure, outperform both the markets and those managed using the risk measure 'beta', usually used by investment managers
- Q_entropy_portfolio: A Software to Estimate Tsallis (q) Relatve Entropy . . .
The Tsallis relative entropy can be used as a risk measure for constructing managed portfolios that likely exceed Market Returns over a reasonably long period (ex: >= 3 yrs) For research results and plots of relative risk vs expected ecess return, visit the portfolio analysis section in www entropicdynamics com
- Tail-Sensitive Portfolio Optimization: Modeling Heavy Tails with . . . - SSRN
To capture heavy-tailed behavior, I compute the Tsallis entropy with entropic index q = 1 5, a nonextensive generalization of the Shannon entropy particularly sensitive to outliers The portfolios are then filtered by multiple percentile thresholds of entropy (50%, 75%, 80%, and 90%), selecting the portfolio that maximizes the return among
- Financial portfolios based on Tsallis relative entropy as the risk . . .
In this paper, Tsallis relative entropy (TRE), which is the generalization of Kullback-Leibler relative entropy (KLRE) to non-extensive systems, is investigated as a possible risk measure in constructing risk optimal portfolios whose returns beat market returns
- Tsallis Relative entropy from asymmetric distributions as a risk . . .
In an earlier study, we showed that Tsallis relative entropy (TRE), which is the generalization of Kullback-Leibler relative entropy (KLRE) to non-extensive systems, can be used as a possible
- Financial Portfolios based on Tsallis Relative Entropy as the Risk . . .
In this paper, Tsallis relative entropy (TRE), which is the generalization of Kullback-Leibler relative entropy (KLRE) to non-extensive systems, is investigated as a possible risk measure in constructing risk optimal portfolios whose returns beat market returns
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