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20192022
most citedTsallis Relative entropy from asymmetric distributions as a risk measure for financial portfolios

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q-fin.ST2019

Financial Portfolios based on Tsallis Relative Entropy as the Risk Measure

Sandhya Devi

Earlier studies have shown that stock market distributions can be well described by distributions derived from Tsallis entropy, which is a generalization of Shannon entropy to non-…