Financial Portfolios based on Tsallis Relative Entropy as the Risk Measure
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- Devi, Sandhya, 2021. "Asymmetric Tsallis distributions for modeling financial market dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 578(C).
- Sandhya Devi & Sherman Page, 2022. "Tsallis Relative entropy from asymmetric distributions as a risk measure for financial portfolios," Papers 2205.13625, arXiv.org.
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This paper has been announced in the following NEP Reports:- NEP-RMG-2019-01-28 (Risk Management)
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