AI 中文总结
研究投资组合次优性的成本，通过两种相对熵表示刻画，一种是真实测度下预期对数财富缺口与KL散度的关系，另一种是特定测度下次优组合与凯利组合的表观超额表现及反向KL散度关系。
AI 中文摘要
持有次优投资组合而非凯利最优投资组合的成本有两种精确的相对熵表示。在真实测度下，预期对数财富缺口等于从真实测度到次优投资组合为最优的测度的KL散度。在该测度下，次优投资组合似乎优于凯利投资组合，且表观超额表现等于反向KL散度。
英文摘要
The cost of holding a suboptimal portfolio instead of the Kelly-optimal one admits two exact relative-entropy representations. Under the true measure, the expected log-wealth shortfall equals the KL divergence from the true measure to the measure under which the suboptimal portfolio would be optimal. Under that measure, the suboptimal portfolio appears to outperform the Kelly portfolio, and the apparent outperformance equals the reverse KL divergence.
