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Information Geometry in Portfolio Theory

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Geometric Structures of Information

Part of the book series: Signals and Communication Technology ((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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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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Author information

Authors and Affiliations

  1. University of Toronto, Toronto, Canada

    Ting-Kam Leonard Wong

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  1. Ting-Kam Leonard Wong
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Correspondence to Ting-Kam Leonard Wong .

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Editors and Affiliations

  1. Sony Computer Science Laboratories, Inc., Tokyo, Japan

    Frank Nielsen

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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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  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-030-02519-9

  • Online ISBN: 978-3-030-02520-5

  • eBook Packages: EngineeringEngineering (R0)

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