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Sufficiency on the Stock Market

It is well-known that there are a number of relations between theoretical finance theory and information theory. Some of these relations are exact and some are approximate. In this paper we will explore some of these relations and determine under which conditions the relations are exact. It turns out that portfolio theory always leads to Bregman divergences. The Bregman divergence is only proportional to information divergence in situations that are essentially equal to the type of gambling studied by Kelly. This can be related an abstract sufficiency condition.

preprint2016arXivOpen access
Peter Harremoës
math.ITInformation Theoryq-fin.PM
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Peter Harremoës

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