On the non-stationarity of financial time series: impact on optimal portfolio selection
نویسنده
چکیده
Giacomo Livan, ∗ Jun-ichi Inoue, † and Enrico Scalas 4, ‡ Abdus Salam International Centre for Theoretical Physics, Strada Costiera 11, 34151 Trieste, Italy Graduate School of Information Science and Technology, Hokkaido University, N14-W9, Kita-ku, Sapporo 060-0814, Japan Dipartimento di Scienze e Innovazione Tecnologica, Laboratorio sui Sistemi Complessi, Università del Piemonte Orientale “Amedeo Avogadro”, Viale T. Michel 11, 15121 Alessandria, Italy BCAM Basque Center for Applied Mathematics, Bizkaia Technology Park, Building 500, E-48160 Derio, Spain (Dated: July 25, 2012)
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