Next: Stochastic Markets
Up: Portfolio Management and Information
Previous: The Log-Optimal Portfolio
What happens if we do not have the correct information to select our portfolio?
This is equivalent to choosing
bg*, corresponding to probability density
g(x), while
bf* (corresponding to probability density
f(x)) is the correct one.
We can prove, given that
i.i.d.
f(x), that
Which tells us that the increase
in doubling rate due to side information Y is bounded by the mutual information between the side information Y and the stock market
X.
Magnus Bjornsson
1998-05-12