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The Information Ratio as a Performance Metric
SSRN Electronic Journal, 2005The information ratio is used to assess the risk-adjusted performance of active portfolio managers. This performance metric focuses on the active portfolio only and neglects a risky benchmark component. In this paper, we consider the question whether the information ratio can be used to evaluate the value-added of active management from the perspective
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Conditional Information Ratios and the Information Curve [PDF]
, 2011 Conditional information ratios (CIR) measure lower partial performance of a portfolio conditional to the distribution of returns on the benchmark. The Information Curve plotted by a serial CIR provides an overall view of performance especially under downside scenarios.
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Computational dynamics of information ratios
Economics LetterszbMATH Open Web Interface contents unavailable due to conflicting licenses.
Benjamin R. Auer, Marcel Marohn
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Maximizing the Ratio of Information to Its Cost in Information Theoretic Competitive Learning
2005In this paper, we introduce costs in the framework of information maximization and try to maximize the ratio of information to its associated cost. We have shown that competitive learning is realized by maximizing mutual information between input patterns and competitive units.
Ryotaro Kamimura, Sachiko Aida-Hyugaji
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Tracking Error and Information Ratio
2003In this chapter we will formally introduce and examine portfolio tracking error. As discussed in earlier chapters, risk is quantified by some measure of variance of asset returns. Assessing risk in absolute terms is usually done by calculating the volatility of an asset’s or a portfolio’s return, which in turn is defined as the annualised standard ...
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The information wastage ratio: Towards a theory of rates of information generation and utilization
Scientometrics, 1988This paper presents a theoretical framework of the relationships between certain phenomena attendant to an information society, i.e. information explosion, societal information overload, etc. It also attempts to explain and predict the possible effects of these phenomena on information generation, utilization and wastage.
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Information Ratio of Unicyclic Graphs
IEEE Transactions on Information Theoryopenaire +1 more source