在基础投资组合管理中运用量子势：一些初步想法。

Using the Quantum Potential in Elementary Portfolio Management: Some Initial Ideas.

作者信息

Khaksar Hossein, Haven Emmanuel, Nasiri Sina, Jafari Gholamreza

机构信息

Physics Department, Shahid Beheshti University, Tehran 1983969411, Iran.

Faculty of Business Administration, Memorial University of Newfoundland, St John's, NL A1C 5S7, Canada.

出版信息

Entropy (Basel). 2021 Jan 30;23(2):180. doi: 10.3390/e23020180.

DOI:10.3390/e23020180

PMID:33573344

原文链接:https://pmc.ncbi.nlm.nih.gov/articles/PMC7911337/

Abstract

Owing to the globalization of the economy, the concept of entangled markets started to form, and this occurrence has smoothed the entrance of quantum mechanics into behavioral finance. In this manuscript, we introduce quantum risk and perform an analysis on portfolio optimization by controlling the quantum potential. We apply this method to eight major indices and construct a portfolio with a minimum quantum risk. The results show quantum risk has a power law behavior with a time-scale just as a standard deviation with different exponents.

摘要

由于经济全球化，相互关联的市场概念开始形成，这种情况使得量子力学顺利进入行为金融学领域。在本论文中，我们引入量子风险，并通过控制量子势对投资组合优化进行分析。我们将此方法应用于八个主要指数，并构建了一个具有最小量子风险的投资组合。结果表明，量子风险具有幂律行为，其时间尺度与具有不同指数的标准差相同。