AI & ML
A mathematical study of the excess growth rate
arXiv math.IT0 views
arXiv:2510.25740v3 Announce Type: replace Abstract: The excess growth rate, defined as the gap in Jensen's inequality for the logarithm, is a fundamental functional in portfolio theory. In this paper, we present a mathematical study motivated by information theory. We begin by establishing its properties and showing that it has rich connections with information-theoretic concepts such as the Helmholtz free energy, L. Campbell's measure of average code length and large deviations. Our main results consist of three axiomatic characterization theorems of the excess growth rate, in terms of (i) the relative entropy, (ii) the gap in Jensen's inequality, and (iii) the logarithmic divergence that generalizes the Bregman divergence. Furthermore, we study maximization of the excess growth rate and compare it with Kelly's growth optimal portfolio. Our results not only provide theoretical justifications of the significance of the excess growth rate, but also establish new connections between information theory and quantitative finance.
Source:https://arxiv.org/abs/2510.25740PreviousEfficient Repair of (k+2, k) Degraded Read Friendly MDS Array Codes With Sub-packetization 2NextA Unified Pulse-Shaped OFDM Framework for Chirp-Domain Waveforms: Continuous-Time Modeling and Practical I/O Analysis
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