### Abstract

We investigate how one invests in the stock market X when there is a rate constraint on the side information V. The doubling function Δ(R) is the maximum increase in the doubling rate when V is described to the investor at rate R. The initial efficiency Δ′(0) is the largest possible increase in the doubling function per bit of description. We introduce the linearized maximal correlation and use it to provide a lower bound for the initial efficiency. We also show that the initial efficiency is bounded above by the square of the Hirschfeld-Gebelein-Renyi maximal correlation between the side information V and the market X. We can use these bounds to find the initial efficiency for V = X and for the horse race market.

Original language | English (US) |
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Title of host publication | IEEE International Symposium on Information Theory - Proceedings |

Publisher | IEEE |

Pages | 283 |

Number of pages | 1 |

State | Published - 1997 |

Event | Proceedings of the 1997 IEEE International Symposium on Information Theory - Ulm, Ger Duration: Jun 29 1997 → Jul 4 1997 |

### Other

Other | Proceedings of the 1997 IEEE International Symposium on Information Theory |
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City | Ulm, Ger |

Period | 6/29/97 → 7/4/97 |

### Fingerprint

### ASJC Scopus subject areas

- Electrical and Electronic Engineering
- Applied Mathematics
- Modeling and Simulation
- Theoretical Computer Science
- Information Systems

### Cite this

*IEEE International Symposium on Information Theory - Proceedings*(pp. 283). IEEE.

**Initial efficiency of investment for the general market.** / Erkip, Elza; Cover, Thomas M.

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

*IEEE International Symposium on Information Theory - Proceedings.*IEEE, pp. 283, Proceedings of the 1997 IEEE International Symposium on Information Theory, Ulm, Ger, 6/29/97.

}

TY - GEN

T1 - Initial efficiency of investment for the general market

AU - Erkip, Elza

AU - Cover, Thomas M.

PY - 1997

Y1 - 1997

N2 - We investigate how one invests in the stock market X when there is a rate constraint on the side information V. The doubling function Δ(R) is the maximum increase in the doubling rate when V is described to the investor at rate R. The initial efficiency Δ′(0) is the largest possible increase in the doubling function per bit of description. We introduce the linearized maximal correlation and use it to provide a lower bound for the initial efficiency. We also show that the initial efficiency is bounded above by the square of the Hirschfeld-Gebelein-Renyi maximal correlation between the side information V and the market X. We can use these bounds to find the initial efficiency for V = X and for the horse race market.

AB - We investigate how one invests in the stock market X when there is a rate constraint on the side information V. The doubling function Δ(R) is the maximum increase in the doubling rate when V is described to the investor at rate R. The initial efficiency Δ′(0) is the largest possible increase in the doubling function per bit of description. We introduce the linearized maximal correlation and use it to provide a lower bound for the initial efficiency. We also show that the initial efficiency is bounded above by the square of the Hirschfeld-Gebelein-Renyi maximal correlation between the side information V and the market X. We can use these bounds to find the initial efficiency for V = X and for the horse race market.

UR - http://www.scopus.com/inward/record.url?scp=0030717263&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=0030717263&partnerID=8YFLogxK

M3 - Conference contribution

SP - 283

BT - IEEE International Symposium on Information Theory - Proceedings

PB - IEEE

ER -