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Financial Portfolios based on Tsallis Relative Entropy as the Risk Measure

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Figure

Figure 2.
Figure 3. Average monthly excess returns of the portfolios vs. the four risk measures considered
Figure 4. Performance of the four risk measures as a function of number of securities in the portfolios (diversification)
Figure 6. Comparison of average monthly excess returns of the portfolios vs. the four risk measures for shorter periods of 9 years, 2000-2009 and 2009-2018

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