@inproceedings{cf93b33ed52a4c8f8f4033baabe9d3f3,

title = "The initial efficiency of investment for the general market",

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.",

author = "Elza Erkip and Cover, {Thomas M.}",

year = "1997",

doi = "10.1109/ISIT.1997.613203",

language = "English (US)",

isbn = "0780339568",

series = "IEEE International Symposium on Information Theory - Proceedings",

booktitle = "Proceedings - 1997 IEEE International Symposium on Information Theory, ISIT 1997",

note = "1997 IEEE International Symposium on Information Theory, ISIT 1997 ; Conference date: 29-06-1997 Through 04-07-1997",

}