/shannon_strategy

Analysis of Claude Shannon's re-balancing investment strategy

Primary LanguageJupyter NotebookMIT LicenseMIT

Shannon's strategy

Claude Shannon, a mathematician and an electrical engineer, talked about a strategy that benefits from volatility (source: here). The strategy works by rebalancing the investment portfolio at every specific period. Our goal is to implement his strategy and find out in what condition it would be profitable.

The implementation and performance of the strategy is discussed in shannon_strategy.ipynb high volatility