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  1. 1 Acta Physica Polonica A

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  1. 1 2018

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  1. 1 Song Y.

  2. 1 Wang J.

  3. 1 Zhao P.

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Optimal Portfolio under Non-Extensive Statistical Mechanics and Value-at-Risk Constraints

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Zhao P., Wang J., Song Y.
Acta Physica Polonica A
|
2018
|
vol. 133
|
issue 5
1170-1173
EN
In this study, we consider the optimal portfolio selection problem with a value-at-risk constraint in the non-extensive statistical mechanics framework. We propose a portfolio selection model, which is suitable not only for normal return distributions, but also for non-normal return distributions. Using Chinese stock data, under the normal and q-Gaussian return distributions, we provide empirical results. The results indicate that portfolio selections under the q-Gaussian return distributions are considerably different from those under the normal return distributions. Moreover, by using the q-Gaussian distribution, the underestimated portfolio risk can be effectively avoided.
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