What Makes An Asset Useful?
June 25, 2018 | Dr. Yves-Laurent Kom Samo, Dr. Dieter Hendricks
In this 46 pages foundational paper, we develop an information-theoretic protocol for systematically quantifying how useful new assets or trading strategies are to investment managers. Among other contributions, we revisit age-old problems such as measuring financial risk and portfolio diversification, addressing well-known restrictions such as linearity and i.i.d. Gaussian assumptions and we provide a framework for quantifying the memory/predictability of a time series of returns. Download PDF