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Portfolio Theory, Information Theory and Tsallis Statistics

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  • Marco A. S. Trindade
  • Sergio Floquet
  • Lourival M. S. Filho

Abstract

We developed a strategic of optimal portfolio based on information theory and Tsallis statistics. The growth rate of a stock market is defined by using $q$-deformed functions and we find that the wealth after n days with the optimal portfolio is given by a $q$-exponential function. In this context, the asymptotic optimality is investigated on causal portfolios, showing advantages of the optimal portfolio over an arbitrary choice of causal portfolios. Finally, we apply the formulation in a small number of stocks in brazilian stock market $[B]^{3}$ and analyzed the results.

Suggested Citation

  • Marco A. S. Trindade & Sergio Floquet & Lourival M. S. Filho, 2018. "Portfolio Theory, Information Theory and Tsallis Statistics," Papers 1811.07237, arXiv.org, revised Oct 2019.
    • Handle: RePEc:arx:papers:1811.07237
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    References listed on IDEAS

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    Cited by:

    1. Tania Gorcheva, 2020. "Processes Of Intelnationalization Of The Tourist Business In Bulgaria," Anniversary Scientific Conference with International Participation TOURISM AND CONNECTIVITY 2020, University publishing house "Science and Economics", University of Economics - Varna, issue 1, pages 259-265, October.

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