arXiv subjects

Bo-Yu Yang

Publications and source records attributed to Bo-Yu Yang.

2 recordsLinked to original sources

arXiv2026

Single-Period Portfolio Selection via Information Projection

We study the single-period portfolio selection problem under Constant Relative Risk-Aversion (CRRA) utility through the information-theoretic lens. Assuming only that the market payoff vector has finite support, we show that the Certainty-Equivalent (CE) growth rate under CRRA utility can be decomposed into a portfolio-induced R\'enyi divergence term, a R\'enyi entropy term of the risk-tilted market law, and a log-partition term. In this setting, the R\'enyi order has a clear operational meaning: it exactly coincides with the investor's coefficient of relative risk aversion. We further show that CRRA portfolio selection is equivalent to a R\'enyi information-projection problem. Using a variational representation of R\'enyi divergence, we obtain a Blahut-Arimoto-style alternating optimization with a closed-form auxiliary update and a KL-type portfolio step. In the low risk-aversion regime, this method empirically requires fewer iterations than both direct CRRA utility optimization and Cover's method.

cs.IT↗

arXiv2024

Maximal $\alpha$-Leakage for Quantum Privacy Mechanisms

In this work, maximal $\alpha$-leakage is introduced to quantify how much a quantum adversary can learn about any sensitive information of data upon observing its disturbed version via a quantum privacy mechanism. We first show that an adversary's maximal expected $\alpha$-gain using optimal measurement is characterized by measured conditional R\'enyi entropy. This can be viewed as a parametric generalization of K\"onig et al.'s famous guessing probability formula [IEEE Trans. Inf. Theory, 55(9), 2009]. Then, we prove that the $\alpha$-leakage and maximal $\alpha$-leakage for a quantum privacy mechanism are determined by measured Arimoto information and measured R\'enyi capacity, respectively. Various properties of maximal $\alpha$-leakage, such as data processing inequality and composition property are established as well. Moreover, we show that regularized $\alpha$-leakage and regularized maximal $\alpha$-leakage for identical and independent quantum privacy mechanisms coincide with $\alpha$-tilted sandwiched R\'enyi information and sandwiched R\'enyi capacity, respectively.

quant-ph↗