DocumentCode
892776
Title
A bound on the financial value of information
Author
Barron, Andrew R. ; Cover, Thomas M.
Author_Institution
Dept. of Stat., Illinois Univ., Champaign, IL, USA
Volume
34
Issue
5
fYear
1988
fDate
9/1/1988 12:00:00 AM
Firstpage
1097
Lastpage
1100
Abstract
It is shown that each bit of information at most doubles the resulting wealth in the general stock-market setup. This information bound on the growth of wealth is actually attained for certain probability distributions on the market investigated by J. Kelly (1956). The bound is shown to be a special case of the result that the increase in exponential growth of wealth achieved with true knowledge of the stock market distribution F over that achieved with incorrect knowledge G is bounded above by the entropy of F relative to G
Keywords
information theory; probability; financial value; information bound; probability distributions; stock-market; wealth; Entropy; Information theory; Investments; Portfolios; Probability distribution; Statistics; Stock markets; Sufficient conditions;
fLanguage
English
Journal_Title
Information Theory, IEEE Transactions on
Publisher
ieee
ISSN
0018-9448
Type
jour
DOI
10.1109/18.21241
Filename
21241
Link To Document