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A Generalization of the Shannon-McMillan-Breiman Theorem and the Kelly Criterion Leading to a Definition of Pragmatic Information
Shannon-McMillan-Breiman Theorem Kelly Criterion Leading Pragmatic Information
2010/10/29
After reviewing the strengthened hypotheses of the Shannon-MacMillan-Breiman Theorem, versus the standard statement of the Noiseless Coding Theorem, we state and prove a similar result for relative in...
Application of the Kelly Criterion to Ornstein-Uhlenbeck Processes
utility function optimal investment strategy self-financing complete market risk-neutral measure Brownian motion Ornstein-Uhlenbeck
2010/10/29
In this paper, we study the Kelly criterion in the continuous time framework building on the work of E.O. Thorp and others. The existence of an optimal strategy is proven in a general setting and the ...