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Type: Artigo de Periódico
Title: Principal curves for statistical divergences and an application to finance
Authors: Rodrigues, Ana Flávia Paiva
Cavalcante, Charles Casimiro
Keywords: Principal curves;Information geometry;Deformed exponentials;Finance application
Issue Date: 2018
Publisher: Entropy
Citation: CAVALCANTE, C. C.; RODRIGUES, A. F. P. Principal curves for statistical divergences and an application to finance. Entropy, vol. 20, n. 5, p.333, 2018
Abstract: 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.
ISSN: 1099-4300
Appears in Collections:DETE - Artigos publicados em revista científica

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