A bound on the financial value of information

DOI10.1109/18.21241zbMath0662.90023OpenAlexW2088552997MaRDI QIDQ3813576

Andrew R. Barron, Thomas M. Cover

Publication date: 1988

Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/2fb69b3b331b7fe4f54c0b0f4b5d50815917254f

zbMATH Keywords

entropystock marketgrowth of wealth

Mathematics Subject Classification ID

Mathematical economics (91B99) Measures of information, entropy (94A17)

Related Items

Adaptive log-density estimation, Informations in models of evolutionary dynamics, Portfolio theory, information theory and Tsallis statistics, Infomax strategies for an optimal balance between exploration and exploitation, Mutual information, metric entropy and cumulative relative entropy risk, Universal Portfolios, Unnamed Item, The risk premium that never was: a fair value explanation of the volatility spread, Exponential series estimator of multivariate densities, The value of information for populations in varying environments, Online portfolio selection, NONPARAMETRIC KERNEL‐BASED SEQUENTIAL INVESTMENT STRATEGIES