Abstract

A relationship between the growth-rate of log-optimal portfolios and capacity of fading single-input multiple output (SIMO) channels are established. Using this relation, stock vector stochastic processes that model the investment environments are stochastically ordered using different criteria. The presence of side information (SI) is considered, and a bound on the gains in the growth-rate due to SI is derived along with data processing inequality and convexity properties. A statistical test on the usefulness of SI that does not require the computation of the optimal portfolio vector in the presence of SI is introduced and its several variants are discussed.

Original languageEnglish (US)
Title of host publication2021 IEEE International Symposium on Information Theory, ISIT 2021 - Proceedings
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages3231-3236
Number of pages6
ISBN (Electronic)9781538682098
DOIs
StatePublished - Jul 12 2021
Event2021 IEEE International Symposium on Information Theory, ISIT 2021 - Virtual, Melbourne, Australia
Duration: Jul 12 2021Jul 20 2021

Publication series

NameIEEE International Symposium on Information Theory - Proceedings
Volume2021-July
ISSN (Print)2157-8095

Conference

Conference2021 IEEE International Symposium on Information Theory, ISIT 2021
Country/TerritoryAustralia
CityVirtual, Melbourne
Period7/12/217/20/21

ASJC Scopus subject areas

  • Theoretical Computer Science
  • Information Systems
  • Modeling and Simulation
  • Applied Mathematics

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