A mathematical study of the excess growth rate
超额增长率的数学研究
Steven Campbell, Ting-Kam Leonard Wong
AI总结 本文从信息论角度研究超额增长率,建立其性质并给出三个公理刻画定理,同时探讨最大化问题及其与增长最优组合的关系。
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- 54 pages, 2 figures
超额增长率定义为对数詹森不等式中的间隙,是投资组合理论中的一个基本泛函。在本文中,我们提出了一项受信息论启发的数学研究。我们首先建立其性质,并展示它与信息论概念(如亥姆霍兹自由能、L. Campbell的平均码长测度和大偏差)有丰富的联系。我们的主要结果包括三个超额增长率的公理化刻画定理,分别基于(i)相对熵,(ii)詹森不等式中的间隙,以及(iii)推广了Bregman散度的对数散度。此外,我们研究了超额增长率的最大化,并将其与增长最优组合进行比较。我们的结果不仅为超额增长率的重要性提供了理论依据,而且建立了信息论与定量金融之间的新联系。
The excess growth rate, defined as the gap in Jensen's inequality for the logarithm, is a fundamental functional in portfolio theory. In this paper, we present a mathematical study motivated by information theory. We begin by establishing its properties and showing that it has rich connections with information theoretic concepts such as the Helmholtz free energy, L. Campbell's measure of average code length and large deviations. Our main results consist of three axiomatic characterization theorems of the excess growth rate, in terms of (i) the relative entropy, (ii) the gap in Jensen's inequality, and (iii) the logarithmic divergence that generalizes the Bregman divergence. Furthermore, we study maximization of the excess growth rate and compare it with the growth optimal portfolio. Our results not only provide theoretical justifications of the significance of the excess growth rate, but also establish new connections between information theory and quantitative finance.