Weighted entropy and optimal portfolios for risk-averse Kelly investments

DOI10.1007/S00010-017-0515-6zbMath1442.91087arXiv1708.03813OpenAlexW2746094234MaRDI QIDQ1692288

Peng Zhang

Publication date: 26 January 2018

Published in: Aequationes Mathematicae (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1708.03813

zbMATH Keywords

weight functionmartingalereturn functionsupermartingaleexpected weighted interest ratelog-optimal investment portfoliopredictable strategy

Mathematics Subject Classification ID

Probabilistic measure theory (60A10) Portfolio theory (91G10)

Related Items (5)

Basic inequalities for weighted entropies ⋮ FK-DLR properties of a quantum multi-type Bose-gas with a repulsive interaction ⋮ Weighted entropy: basic inequalities ⋮ A local large deviation principle for inhomogeneous birth-death processes ⋮ Weighted Gaussian entropy and determinant inequalities

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• Selected data compression: a refinement of Shannon's principle
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• Risk-Sensitive Investment Management
• Growth–Security Models and Stochastic Dominance
• Risk Sensitive Portfolio Management with Cox--Ingersoll--Ross Interest Rates: The HJB Equation
• Universal Portfolios
• Elements of Information Theory

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