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

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q-fin.ST2022★ 1 cited

Tsallis Relative entropy from asymmetric distributions as a risk measure for financial portfolios

Sandhya Devi, Sherman Page

In an earlier study, we showed that Tsallis relative entropy (TRE), which is the generalization of Kullback-Leibler relative entropy (KLRE) to non-extensive systems, can be used as…