31 ideas of modules for MPE2013
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Information, concentration, transportation of exponentially concave
= log(1 + ∇ϕ(p) · (q − p)) − (ϕ(q) − ϕ(p)) ≥ 0. limt log V (t) = ∞ if ϕ(µ(t)) is bounded. Volatility harvesting. (P. and Wong ’15). π has above property ⇒ π is solution of OT.
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