Related papers: Missing Information and Asset Allocation
New families of Fisher information and entropy power inequalities for sums of independent random variables are presented. These inequalities relate the information in the sum of $n$ independent random variables to the information contained…
We consider a cooperative multi-agent system consisting of a team of agents with decentralized information. Our focus is on the design of symmetric (i.e. identical) strategies for the agents in order to optimize a finite horizon team…
This paper considers two investors who perform mean-variance portfolio selection with asymmetric information: one knows the true stock dynamics, while the other has to infer the true dynamics from observed stock evolution. Their portfolio…
Entropy and information can be considered dual: entropy is a measure of the subspace defined by the information constraining the given ambient space. Negative entropies, arising in na\"ive extensions of the definition of entropy from…
Understanding the dependencies among financial assets is critical for portfolio optimization. Traditional approaches based on correlation networks often fail to capture the nonlinear and directional relationships that exist in financial…
We consider a class of generalized capital asset pricing models in continuous time with a finite number of agents and tradable securities. The securities may not be sufficient to span all sources of uncertainty. If the agents have…
Short-term patterns in financial time series form the cornerstone of many algorithmic trading strategies, yet extracting these patterns reliably from noisy market data remains a formidable challenge. In this paper, we propose an…
We present arguments for the formulation of unified approach to different standard continuous inference methods from partial information. It is claimed that an explicit partition of information into a priori (prior knowledge) and a…
Portfolio management is an essential component of investment strategy that aims to maximize returns while minimizing risk. This paper explores several portfolio management strategies, including asset allocation, diversification, active…
The problem of determining the joint probability distributions for correlated random variables with pre-specified marginals is considered. When the joint distribution satisfying all the required conditions is not unique, the "most unbiased"…
In this paper, we develop the lower and upper bounds of worst-case distortion riskmetrics and weighted entropy for unimodal, and symmetric unimodal distributions when mean and variance information are available. We also consider the sharp…
Obtaining meaningful quantitative descriptions of the statistical dependence within multivariate systems is a difficult open problem. Recently, the Partial Information Decomposition (PID) was proposed to decompose mutual information (MI)…
Maximum entropy principle (MEP) offers an effective and unbiased approach to inferring unknown probability distributions when faced with incomplete information, while neural networks provide the flexibility to learn complex distributions…
Many complex systems exhibit extreme events far more often than expected for a normal distribution. This work examines how self-similar bursts of activity across several orders of magnitude can emerge from first principles in systems that…
Entropy is a measure of self-information which is used to quantify losses. Entropy was developed in thermodynamics, but is also used to compare probabilities based on their deviating information content. Corresponding model uncertainty is…
Discrete entropy estimation is a classic information theory problem, wherein the average information content of a discrete random variable is estimated from samples alone. Naive approaches, such as the plugin method, fail to account for the…
The mutual information between a set of stimuli and the elicited neural responses is compared to the corresponding decoded information. The decoding procedure is presented as an artificial distortion of the joint probabilities between…
The financial and economic crisis recently experienced by many European countries has increased demand for timely, coherent and consistent distributional information for the household sector. In the Euro area, most of the NCBs collect such…
A new combinatorial-probabilistic diagnostic entropy has been introduced. It describes the pair-wise sum of probabilities of system conditions that have to be distinguished during the diagnosing process. The proposed measure describes the…
Active portfolio management tries to incorporate any source of meaningful information into the asset selection process. In this contribution we consider qualitative views specified as total orders of the expected asset returns and discuss…