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.
An algorithm for maximizing expected log investment return
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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.