Optimal Portfolio under Non-Extensive Statistical Mechanics and Value-at-Risk Constraints-Reference-Cited by-同舟云学术

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Optimal Portfolio under Non-Extensive Statistical Mechanics and Value-at-Risk Constraints

Published:2018-05 Issue:5 Volume:133 Page:1170-1173
ISSN:1898-794X
Container-title:Acta Physica Polonica A
language:en
Short-container-title:Acta Phys. Pol. A

Author:

Zhao Pan¹²,Wang Jixia³,Song Yu⁴

Affiliation:

1. College of Finance and Mathematics, West Anhui University, Lu'an, Anhui, China

2. Financial Risk Intelligent Control and Prevention Institute of West Anhui University, Lu'an, Anhui, China

3. School of Mathematics and Information Sciences, Henan Normal University, Xinxiang, Henan, China

4. School of Economics and Management, Nanjing University of Science and Technology, Nanjing, Jiangsu, China

Publisher

Institute of Physics, Polish Academy of Sciences

Subject

General Physics and Astronomy

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Non-extensive value-at-risk estimation during times of crisis;International Journal of Modern Physics C;2021-04-08

2. Portfolio theory, information theory and Tsallis statistics;Physica A: Statistical Mechanics and its Applications;2020-03

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