Portfolio Growth Rate and Ergodic Capacity of Fading Channels

Cihan Tepedelenlioglu

doi:10.1109/ISIT45174.2021.9517912

Portfolio Growth Rate and Ergodic Capacity of Fading Channels

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

Abstract

A relationship between the growth-rate of log-optimal portfolios and capacity of fading single-input multiple output (SIMO) channels are established. Using this relation, stock vector stochastic processes that model the investment environments are stochastically ordered using different criteria. The presence of side information (SI) is considered, and a bound on the gains in the growth-rate due to SI is derived along with data processing inequality and convexity properties. A statistical test on the usefulness of SI that does not require the computation of the optimal portfolio vector in the presence of SI is introduced and its several variants are discussed.

Original language	English (US)
Title of host publication	2021 IEEE International Symposium on Information Theory, ISIT 2021 - Proceedings
Publisher	Institute of Electrical and Electronics Engineers Inc.
Pages	3231-3236
Number of pages	6
ISBN (Electronic)	9781538682098
DOIs	https://doi.org/10.1109/ISIT45174.2021.9517912
State	Published - Jul 12 2021
Event	2021 IEEE International Symposium on Information Theory, ISIT 2021 - Virtual, Melbourne, Australia Duration: Jul 12 2021 → Jul 20 2021

Publication series

Name	IEEE International Symposium on Information Theory - Proceedings
Volume	2021-July
ISSN (Print)	2157-8095

Conference

Conference	2021 IEEE International Symposium on Information Theory, ISIT 2021
Country/Territory	Australia
City	Virtual, Melbourne
Period	7/12/21 → 7/20/21

ASJC Scopus subject areas

Theoretical Computer Science
Information Systems
Modeling and Simulation
Applied Mathematics

Access to Document

10.1109/ISIT45174.2021.9517912

Cite this

Tepedelenlioglu, C. (2021). Portfolio Growth Rate and Ergodic Capacity of Fading Channels. In 2021 IEEE International Symposium on Information Theory, ISIT 2021 - Proceedings (pp. 3231-3236). (IEEE International Symposium on Information Theory - Proceedings; Vol. 2021-July). Institute of Electrical and Electronics Engineers Inc.. https://doi.org/10.1109/ISIT45174.2021.9517912

Portfolio Growth Rate and Ergodic Capacity of Fading Channels. / Tepedelenlioglu, Cihan.
2021 IEEE International Symposium on Information Theory, ISIT 2021 - Proceedings. Institute of Electrical and Electronics Engineers Inc., 2021. p. 3231-3236 (IEEE International Symposium on Information Theory - Proceedings; Vol. 2021-July).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

Tepedelenlioglu, C 2021, Portfolio Growth Rate and Ergodic Capacity of Fading Channels. in 2021 IEEE International Symposium on Information Theory, ISIT 2021 - Proceedings. IEEE International Symposium on Information Theory - Proceedings, vol. 2021-July, Institute of Electrical and Electronics Engineers Inc., pp. 3231-3236, 2021 IEEE International Symposium on Information Theory, ISIT 2021, Virtual, Melbourne, Australia, 7/12/21. https://doi.org/10.1109/ISIT45174.2021.9517912

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Portfolio Growth Rate and Ergodic Capacity of Fading Channels

Abstract

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