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Information Geometry in Portfolio Theory

Part of the Signals and Communication Technology book series (SCT)

Abstract

We review some recent developments in stochastic portfolio theory motivated by information geometry, present illustrative examples and an extension of functional portfolio generation. Several problems are suggested for further study.

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(taken from [25])

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Notes

  1. 1.

    In practice the number of stocks changes with time, and the market capitalization may fluctuate due to public offerings and other events. For simplicity these complications are neglected here.

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Wong, TK.L. (2019). Information Geometry in Portfolio Theory. In: Nielsen, F. (eds) Geometric Structures of Information. Signals and Communication Technology. Springer, Cham. https://doi.org/10.1007/978-3-030-02520-5_6

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  • DOI: https://doi.org/10.1007/978-3-030-02520-5_6

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