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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...
Autores principales: | Rodrigues, Ana Flávia P., Cavalcante, Charles Casimiro |
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Formato: | Online Artículo Texto |
Lenguaje: | English |
Publicado: |
MDPI
2018
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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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