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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...

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Detalles Bibliográficos
Autores principales: Rodrigues, Ana Flávia P., Cavalcante, Charles Casimiro
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

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