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Principal Curves for Statistical Divergences and an Application to Finance.
Rodrigues, Ana Flávia P; Cavalcante, Charles Casimiro.
Afiliação
  • Rodrigues AFP; Department of Teleinformatics Engineering, Federal University of Ceará, Fortaleza-CE 60440-900, Brazil.
  • Cavalcante CC; Department of Teleinformatics Engineering, Federal University of Ceará, Fortaleza-CE 60440-900, Brazil.
Entropy (Basel) ; 20(5)2018 May 02.
Article em En | MEDLINE | ID: mdl-33265423
This paper proposes a method for the beta pricing model under the consideration of non-Gaussian returns by means of a generalization of the mean-variance model and the use of principal curves to define a divergence model for the optimization of the pricing model. We rely on the q-exponential model so consider the properties of the divergences which are used to describe the statistical model and fully characterize the behavior of the assets. We derive the minimum divergence portfolio, which generalizes the Markowitz's (mean-divergence) approach and relying on the information geometrical aspects of the distributions the Capital Asset Pricing Model (CAPM) is then derived under the geometrical characterization of the distributions which model the data, all by the consideration of principal curves approach. We discuss the possibility of integration of our model into an adaptive procedure that can be used for the search of optimum points on finance applications.
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Texto completo: 1 Coleções: 01-internacional Base de dados: MEDLINE Tipo de estudo: Health_economic_evaluation Idioma: En Revista: Entropy (Basel) Ano de publicação: 2018 Tipo de documento: Article País de afiliação: Brasil País de publicação: Suíça

Texto completo: 1 Coleções: 01-internacional Base de dados: MEDLINE Tipo de estudo: Health_economic_evaluation Idioma: En Revista: Entropy (Basel) Ano de publicação: 2018 Tipo de documento: Article País de afiliação: Brasil País de publicação: Suíça