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...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2018-05-01
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| Series: | Entropy |
| Subjects: | |
| Online Access: | http://www.mdpi.com/1099-4300/20/5/333 |