Portfolio information theory pdf

Investment analysis and portfolio management 5 the course assumes little prior applied knowledge in the area of finance. Information theory and the stock market school of mathematical. Mpt is to maximize the return of an investment for a constrained risk. Portfolio theory, information theory and tsallis statistics. The course is intended for 32 academic hours 2 credit points. Markowitz portfolio theory provides a method to analyse how good a given portfolio is based on only the means and the variance of the returns of the assets contained in the portfolio. We developed a strategic of optimal portfolio based on information theory and tsallis statistics. Universal data compression and portfolio selection information. Gambling and portfolio selection using information theory uic ece. An entropybased approach to portfolio optimization mdpi.

Paul tune school of mathematical sciences, university of adelaide. Elements of information theory fundamentals of computational. We can invest in two non dividend paying stocks amazon a and boeing b over the next month. Information theory and portfolio theory elements of information. By investing in more than one stock, an investor can reap the benefits of. One of the main objectives of modern portfolio theory. Competitive optimality of the logoptimal portfolio 471. Modern portfolio theory mpt is a theory on how riskaverse investors can construct portfolios to optimize or maximize expected return based on a given level of market risk, emphasizing that risk is an inherent part of higher reward. One of the major concepts that most investors should be aware of is the relationship between the risk and the return of a financial asset. Modern portfolio theory says that it is not enough to look at the expected risk and return of one particular stock. This chapter introduces modern portfolio theory in a simpli. Portfolio theory and asset pricing models answers to endofchapter questions.