CRRA portfolio selection equals Rényi information projection with the Rényi order matching the relative risk aversion coefficient, yielding a Blahut-Arimoto-style alternating optimizer that needs fewer iterations at low risk aversion.
A new interpretation of information rate
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Replicator productivity decomposes into environmental uncertainty, side information, and distribution mismatch terms, yielding optimal strategies and bounds that extend Kelly gambling concepts to autocatalytic networks.
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Single-Period Portfolio Selection via Information Projection
CRRA portfolio selection equals Rényi information projection with the Rényi order matching the relative risk aversion coefficient, yielding a Blahut-Arimoto-style alternating optimizer that needs fewer iterations at low risk aversion.
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Information bounds production in replicator systems
Replicator productivity decomposes into environmental uncertainty, side information, and distribution mismatch terms, yielding optimal strategies and bounds that extend Kelly gambling concepts to autocatalytic networks.