Cargando…
Principal Curves for Statistical Divergences and an Application to Finance
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 s...
Autores principales: | , |
---|---|
Formato: | Online Artículo Texto |
Lenguaje: | English |
Publicado: |
MDPI
2018
|
Materias: | |
Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7512852/ https://www.ncbi.nlm.nih.gov/pubmed/33265423 http://dx.doi.org/10.3390/e20050333 |
_version_ | 1783586252681904128 |
---|---|
author | Rodrigues, Ana Flávia P. Cavalcante, Charles Casimiro |
author_facet | Rodrigues, Ana Flávia P. Cavalcante, Charles Casimiro |
author_sort | Rodrigues, Ana Flávia P. |
collection | PubMed |
description | 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. |
format | Online Article Text |
id | pubmed-7512852 |
institution | National Center for Biotechnology Information |
language | English |
publishDate | 2018 |
publisher | MDPI |
record_format | MEDLINE/PubMed |
spelling | pubmed-75128522020-11-09 Principal Curves for Statistical Divergences and an Application to Finance Rodrigues, Ana Flávia P. Cavalcante, Charles Casimiro Entropy (Basel) Article 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. MDPI 2018-05-02 /pmc/articles/PMC7512852/ /pubmed/33265423 http://dx.doi.org/10.3390/e20050333 Text en © 2018 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (http://creativecommons.org/licenses/by/4.0/). |
spellingShingle | Article Rodrigues, Ana Flávia P. Cavalcante, Charles Casimiro Principal Curves for Statistical Divergences and an Application to Finance |
title | Principal Curves for Statistical Divergences and an Application to Finance |
title_full | Principal Curves for Statistical Divergences and an Application to Finance |
title_fullStr | Principal Curves for Statistical Divergences and an Application to Finance |
title_full_unstemmed | Principal Curves for Statistical Divergences and an Application to Finance |
title_short | Principal Curves for Statistical Divergences and an Application to Finance |
title_sort | principal curves for statistical divergences and an application to finance |
topic | Article |
url | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7512852/ https://www.ncbi.nlm.nih.gov/pubmed/33265423 http://dx.doi.org/10.3390/e20050333 |
work_keys_str_mv | AT rodriguesanaflaviap principalcurvesforstatisticaldivergencesandanapplicationtofinance AT cavalcantecharlescasimiro principalcurvesforstatisticaldivergencesandanapplicationtofinance |