Weighted entropy and optimal portfolios for risk-averse Kelly investments

Following a series of works on capital growth investment, we analyse log-optimal portfolios where the return evaluation includes `weights' of different outcomes. The results are twofold: (A) under certain conditions, the logarithmic growth rate leads to a supermartingale, and (B) the optimal (martingale) investment strategy is a proportional betting. We focus on properties of the optimal portfolios and discuss a number of simple examples extending the well-known Kelly betting scheme. An important restriction is that the investment does not exceed the current capital value and allows the trader to cover the worst possible losses. The paper deals with a class of discrete-time models. A continuous-time extension is a topic of an ongoing study

Extending additivity from symmetric to asymmetric channels

We prove a lemma which allows one to extend results about the additivity of the minimal output entropy from highly symmetric channels to a much larger class. A similar result holds for the maximal output $p$-norm. Examples are given showing its use in a variety of situations. In particular, we prove the additivity and the multiplicativity for the shifted depolarising channel.Comment: 8 pages. This is the latest version of the first half of the original paper. The other half will appear in another pape