The efficiency of investment information

IEEE Transactions on Information Theory, no. 3 (2006): 1026-1040

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We investigate how the description of a correlated information V improves the investment in the stock market X. The objective is to maximize the growth rate of wealth in repeated investments, We find a single-letter characterization of the incremental growth rate Δ(R), the maximum increase in growth rate when V is described to the investo...更多

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