YITP-23-68

Fundamental connections between utility theories of wealth and information theory

Andrés F. Ducuara1,2∗ and Paul Skrzypczyk3,4†

1
Yukawa Institute for Theoretical Physics, Kyoto University, Kitashirakawa Oiwakecho, Sakyo-ku, Kyoto 606-8502, Japan
2
Center for Gravitational Physics and Quantum Information, Yukawa Institute for Theoretical Physics, Kyoto University
3
H.H. Wills Physics Laboratory, University of Bristol, Tyndall Avenue, Bristol, BS8 1TL, United Kingdom and
4
CIFAR Azrieli Global Scholars program, CIFAR, Toronto, Canada
(Dated: June 16, 2023)
We establish fundamental connections between utility theories of wealth from the economic sci-
ences and information-theoretic quantities. In particular, we introduce operational tasks based on
betting where both gambler and bookmaker have access to side information, or betting tasks with
double side information for short. In order to characterise these operational tasks we introduce new
conditional Rényi divergences, and explore some of their properties. Furthermore, we introduce an
utility theory of wealth ratios, and operationally interpret there the two-parameter (q, r) generalised
mutual information measure recently introduced by V. M. Ilić and I. V. Djordjević [1]; it quantifies
arXiv:2306.07975v1 [cs.IT] 22 May 2023

the advantage provided by side information in betting tasks for utility theories of wealth ratios.
Moreover, we show that the Ilić-Djordjević conditional entropy [1] satisfies a type of generalised
chain rule, which generalises that of Arimoto-Rényi. Finally, we address the implications of these
results on the quantum resource theories of informative measurements and non-constant channels.
Altogether, these results further help strengthening the bridge between the theory of expected utility
from the economic sciences and Shannon’s theory of information.

I. INTRODUCTION
Information theory (IT) is a theoretical framework
which deals with the manipulation, storage, and process-
ing of information, and which was formalised by Shannon
in 1948 [2], with important earlier contributions made by
Nyquist and Hartley during the 1920’s [3, 4]. One of the
main objects of study here is that of entropic quantities,
which come in the form of: unconditional and conditional
entropies, mutual information measures, capacities, di-
vergences, conditional divergences, amongst others [5].
In addition to their role within IT itself, these quantities
have been found to play fundamental roles in the devel-
opment of scientific disciplines such as: thermodynamics,
statistical mechanics, black hole thermodynamics, quan-
tum gravity, quantum information theory, biological and
social sciences, amongst others [5]. It therefore becomes
of foundational and practical importance to keep explor-
ing the mathematical properties as well as the physical
and operational significance of such information-theoretic
quantities.
Expected utility theory (EUT) on the other hand, is a
theoretical framework first formalised by von Neumann
and Morgenstern within the theory of games and eco-
nomic behaviour in 1944 [6]. In broad terms, EUT deals
with the behaviour of rational agents when faced with de-
cision problems. One of the main objects of study within
EUT is that of the utility function (of a rational agent),
a real-valued function representing the agent’s level of
satisfaction when acquiring an amount of wealth, goods,
or services. Utility functions are particularly useful at
∗ andres.ducuara@yukawa.kyoto-u.ac.jp
† paul.skrzypczyk@bristol.ac.uk
describing behavioural tendencies of rational agents such
as the agent’s aversion to risk. Another important ob-
ject of study, and related to the utility function, is that
of the certainty equivalent. The certainty equivalent (for
a given lottery) represents the certain amount of wealth,
goods, or services, which the rational agent is willing to
accept, so in order to walk away from participating in the
given lottery. In other words, it is the certain amount of
wealth that is equivalent (from the agent’s point of view)
to the lottery in question. The characterisation of agents’
behavioural tendencies has arguably been the bread and
butter, so to speak, of the economic sciences since their
formal introduction during the 1950’s and throughout
the second half of the previous century, with many of
these efforts being recognised with the Sveriges Riks-
bank Prize in Economic Sciences in Memory of Alfred
Nobel. Whilst initially a concept of interest mostly to
the economic sciences, the behavioural tendencies of ra-
tional agents turned out to be a ubiquitous concept that
has emerged and found usefulness in other scientific dis-
ciplines such as behavioural ecology, neuroscience, and
information theory, with this latter case being the main
focus of this manuscript.
One of the earliest examples of the interplay between
expected utility theory and information theory, to the
best of our knowledge, was addressed in the work of
Kelly in 1956 [7]. In this work, Kelly formalised and
characterised the operational tasks of betting on horse
races, or horse betting for short and, in particular, ad-
dressed a notion of wealth which was found to be related
to Shannon’s information-theoretic quantities such as the
entropy and the mutual information [5, 7]. Whilst the
concept of risk-aversion was not explicitly addressed as
an ingredient in Kelly’s original proposal, it is now under-
stood that the scenario introduced by Kelly corresponds
to a risk-averse gambler with constant relative risk aver-

sion (CRRA) given by R = 1 (relative risk aversion being
one way to quantify the agent’s aversion to risk). Fast
forward to the twenty-first century, in 2020 Bleuler, Lapi-
doth, and Pfister (BLP) took an important step in [8],
by considering horse betting more generally for gamblers
with risk-aversion values spanning R ∈ R≥0 ∪ {+∞}. In
addition to this, BLP introduced a new conditional Rényi
divergence and a new mutual information measure, which
helped characterising horse betting scenarios where the
gambler has access to side information [8]. Later on,
another step was taken in 2022 in [9], where the the au-
thors introduced a framework for: negative wealth, risk-
aversion values spanning the whole extended line of real
numbers R ∈ R ∪ {+∞, −∞}, as well as explicitly identi-
fying the role of the certainty equivalent in horse betting.
The authors in [9] also showed that Arimoto’s mutual
information measure quantifies the usefulness that side
information provides for these tasks, and extended horse
betting to the quantum domain, where families of ad-
ditional betting tasks naturally emerge: quantum state
betting, quantum channel/subchannel betting, amongst
other variants. The current manuscript aims to be a spir-
itual successor of this line of research.
In this work we further explore and expand the scope
of the connections between expected utility theory and
information theory by showing that the above-mentioned
cases are not isolated examples, but that these two the-
ories are further intimately connected at a fundamen-
tal level. We do this by uncovering additional scenarios
where both expected utility theory and information the-
ory jointly describe decision problems and betting tasks
for utility theories of wealth. Our main findings are the
following.
First, within the utility theory of wealth, we address
betting tasks where both gambler and bookmaker have
access to side information, or betting tasks with double
side information for short. The exploration of these op-
erational tasks leads us to the identification of new Rényi
conditional divergences which precisely characterise the
advantage provided by side information in such betting
tasks. In particular, we find that side information be-
ing available to the bookmaker can actually help the
gambler, but that this advantage cannot be larger than
when the gambler has direct access to such side infor-
mation. Second, we further generalise these results to
the so-called original prospect theory (OPT), a gener-
alised version of EUT, in which decision-making agents
are allowed to behave irrationally, albeit in a systematic
manner [10]. In this regard, we prove that a specific
Rényi conditional entropy characterises such deviation
from rationality. Third, we introduce an utility theory
of wealth ratios and prove that the recently introduced
Ilić-Djordjević measure of mutual information [1] quan-
tifies the advantage provided by side information in bet-
ting tasks for such an utility theory. Moreover, we prove
that the Ilić-Djordjević conditional entropy [1] satisfies a
type of generalised chain rule, which generalises that of
Arimoto-Rényi. Fourth and finally, we address the impli-
2
cations of these results, about the utility theory of wealth
ratios, on quantum state betting games (QSB) within the
quantum resource theory (QRT) of informative measure-
ments, as well as noisy QSB games within the QRT of
non-constant channels.
This work is organised as follows. In Sec. II we
start with preliminaries of the background theories. In
Sec. II A we address some information-theoretic quan-
tities and introduce new conditional Rényi divergences,
whilst in Sec. II B we describe expected utility theory,
the concept of risk-aversion, the certainty equivalent, and
prospect theory. In Sec. III we start our results sec-
tions. In Sec. III A we address operational tasks based
on betting, risk-aversion, and double side information.
In Sec. III B we characterise betting tasks with double
side information. In Sec. III C we consider a generalisa-
tion to original prospect theory. In Sec. III D we intro-
duce an utility theory framework for wealth ratios, and
in Sec. III E a characterisation of betting tasks in such
a scenario. In Sec. III F we address the implications of
these results on the QRTs of informative measurements
and non-constant channels. We finish in Sec. IV with
conclusions.
II. PRELIMINARIES
In this section we address some generalised entropic
measures, the theory of expected utility, the concept of
risk-aversion, risk aversion measures, the certainty equiv-
alent, and prospect theory.
A. Information-theoretic quantities
One important generalisation of the entropic quanti-
ties à la Shannon [2] is the extension due to Rényi [11].
In this direction, the Shannon entropy and the Kullback-
Leibler (KL) divergence (or KL relative entropy) are gen-
eralised as the Rényi entropy and the Rényi divergence,
respectively [11, 12]. Interestingly however, there are in-
stead various Rényi alternatives for the conditional en-
tropy [13], as well as for the mutual information such as
the proposals of: Arimoto [14], Sibson [15], Csiszár [16],
Lapidoth-Pfister [17], Tomamichel-Hayashi [18], amongst
others [1]. Whilst all of these mutual information mea-
sures have found usefulness within information theory
[1], Arimoto’s measures stand out as strong candidates
due to them satisfying a considerable number of desirable
properties [13].
The previous addressed extension à la Rényi is however
not the only way to generalise Shannon’s entropy. The
Tsallis-Havrda-Charvát entropy, first introduced in the
context of information theory by Havrda and Charvát
[19], and later on independently introduced in the realm
of statistical physics by Tsallis [20], is a non-additive gen-
eralisation of Shannon’s. More generally, the two param-
eter (q, r) entropy introduced by Sharma and Mittal [21]
 3

recovers both Rényi and Tsallis in the limits (q, 1) and 28] and, similarly, the so-called Landsberg-Vedral en-
(q, q), respectively. Similarly to the Rényi case however, tropy (q, 2 − q) [29–31]. We now move on to the informa-
whilst there is a generally accepted unique way of in- tion theoretic quantities, based upon the Sharma-Mittal
troducing a unconditional entropy à la Tsallis as well as entropy, recently introduced by Ilić and Djordjević [1].
à la Sharma-Mittal, here again one important challenge
is the generalisation of additional information-theoretic Definition 2. (Ilić-Djordjević information theoretic
quantities [1]) The Ilić-Djordjević conditional entropy
quantities. In this regard, an important step was recently
taken in the work of Ilić and Djordjević [1], where various and mutual information measures of order (q, r) ∈ R × R
ID
entropic measures à la Sharma-Mittal were introduced: of a joint PMF pXG are denoted by Hq,r (X|G) and
ID
a conditional entropy, a mutual information measure, Iq,r (X; G) respectively. The orders q, r ∈ (−∞, 0) ∪
and a channel capacity. In particular, the Ilić-Djordjević (0, 1) ∪ (1, ∞) are defined by:
measures reduce to the Arimoto-Rényi conditional en-  
tropy, Arimoto’s mutual information, and Arimoto-Rényi
 ! 1 q(1−r)
(1−q)
q
ID sgn(q)  X X
p(x, g)q

capacity, in the limit (q, 1). Furthermore, these mea- Hq,r (X|G) :=   − 1 , (3)
1−r  
sures happen to satisfy a considerable number of desir- g x

able properties [1] and consequently, present themselves ID SM ID

as strong generalisations of Shannon’s entropic quantities Iq,r (X; G) := Hq,r (X) r Hq,r (X|G), (4)
in the direction of Sharma-Mittal.
where the pseudo-subtraction operation r is given by
We now introduce the unconditional entropy of x−y
x r y := 1+(1−r)y . These quantities recover the Arimoto-
Sharma-Mittal, the conditional entropy and mutual in-
formation of Ilić and Djordjević, the Rényi divergence, Rényi conditional entropy and the Arimoto-Rényi mutual
a conditional Rényi divergences, and a Rényi conditional information respectively, in the limit (q, r → 1). In par-
entropy. We use the following notation: We consider ran- ticular, the case (q, r) = (1, 1) recovers the standard mu-
ID
dom variables (X, G, ...) on a finite alphabet X , and the tual information I1,1 (X; G) = H(X) − H(X|G) [5]. The
probability mass function (PMF) of X P represented as pX remaining orders are defined by continuous extension of
satisfying: pX (x) ≥ 0, ∀x ∈ X , and x∈X pX (x) = 1. (3).
We omit the alphabet when summing, and write pX (x) Given this two-parameter mutual information mea-
as p(x) when evaluating. We denote the support of pX sure, we can naturally define mutual information mea-
by supp(pX ) := {x | p(x) > 0}, the cardinality of the sures of Arimoto-Tsallis (q, r → q), Arimoto-Gauss (1, r),
support by |supp(pX )|, the set of non-negative real num- in the corresponding limits, following the same limit cases
bers by R≥0 , and the extended line of real numbers by as for the unconditional measure. The Ilić-Djordjević
R := R ∪ {∞, −∞}. Joint and conditional PMFs are mutual information satisfies various desirable properties
denoted by pXG , pG|X respectively, and we also consider which makes it a strong candidate amongst several other
the auxiliary “sign” function: proposals [1]. We now introduce the Rényi divergence,
( a conditional Rényi divergence, and a Rényi conditional
+1, α ≥ 0, entropy.
sgn(α) := (1)
−1, α < 0.
Definition 3. (Some Rényi information-theoretic quan-
We start by considering the Sharma-Mittal entropy. tities) The Rényi divergence (R-divergence) of order
α ∈ R of PMFs pX and qX is denoted as Dα (pX ||qX )
Definition 1. (Sharma-Mittal entropy [21]) The [11, 12]. The Bleuler-Lapidoth-Pfister conditional-Rényi
Sharma-Mittal entropy of order (q, r) ∈ R × R of a divergence (BLP-CR-divergence) of order α ∈ R of con-
SM
PMF pX is denoted as Hq,r (X). The orders q, r ∈ ditional PMFs pX|G , qX|G , and PMF pX is denoted as
(−∞, 0) ∪ (0, 1) ∪ (1, ∞) are defined by: DαBLP (pG|X ||qG|X |pX ) [8, 32]. The number two Rényi
 ! 1−r  conditional entropy of order α ∈ R of a joint PMF pXG
1−q
SM sgn(q) X is denoted as Hα2 (X|G), following the notation by Fehr
Hq,r (X) :=  p(x)q − 1 . (2) and Berens [13]. The orders α ∈ (−∞, 0) ∪ (0, 1) ∪ (1, ∞)
1−r x
of these quantities are defined as:
The remaining orders are defined by continuous extension " #
of (2). In particular, the Sharma-Mittal entropy recovers sgn(α) X
Dα (pX ||qX ) := ln p(x)α q(x)1−α , (5)
Tsallis and Rényi entropies in the limits (q, r → q) and α−1 x
(q, r → 1), respectively. DαBLP (pX|G ||qX|G |pG ) (6)
The Sharma-Mittal entropy has been explored in the
 ! α1 
context of statistical physics as well as information theory |α| X X
:= ln  p(g) p(x|g)α q(x|g)1−α ,
[22–25]. In addition to recovering both Rényi (q, r → 1) α−1 g x
and Tsallis (q, r → q), the limit (q → 1, r) (called Gaus-
sian entropy) has also been explored independently [26– Hα2 (X|G) := HαR (X, G) − HαR (G), (7)
 4

with HαR (·) the Rényi entropy. The orders α ∈ Definition 5. (Second new conditional Rényi diver-
{1, 0, ∞, −∞} are defined define by their respective con- gence) The second new conditional Rényi divergence (n2-
tinuous extensions. CR-divergence) of order α ∈ R of PMFs pX|GY , qX|GY ,
pG , and pY |G is denoted as Dαn2 (pX|GY ||qX|GY |pG , pY |G ).
Further details about the relationship between the The orders α ∈ (−∞, 0) ∪ (0, 1) ∪ (1, ∞) are defined as:
Rényi divergence, conditional Rényi divergences, and
Rényi conditional entropies in Appendix A. We now in- n2 |α|
Dα (pX|GY ||qX|GY |pG , pY |G ) := (11)
troduce two new conditional Rényi divergences, address α−1
 1
!α ! 
some of their properties, as well as the way they relate X X X 1−α
α

to other information-theoretic quantities. ln  p(g) p(y|g) p(x|gy) q(x|gy) α .

g x y
Definition 4. (First new conditional Rényi divergence)
The first new conditional Rényi divergence (n1-CR- The orders α ∈ {1, 0, ∞, −∞} are defined by continuous
divergence) of order α ∈ R of PMFs pX|Y , qX|Y , pY extension of (11).
is denoted as Dαn1 (pX|Y ||qX|Y |pY ). The orders α ∈ We can check that this quantity is related the previ-
(−∞, 0) ∪ (0, 1) ∪ (1, ∞) are defined as: ously defined n1-CR-divergence, as well as the BLP-CR-
divergence and the Rényi divergence, as follows.
Dαn1 (pX|Y ||qX|Y |pY ) (8)
" !α # Remark 1. (Relationship between the n2-CR divergence,
sgn(α) X X 1−α
n1-CR divergence, and the Rényi divergence) Consider-
= ln p(y) p(x|y) q(x|y) α .
α−1 ing the dependence/independence between random vari-
x y
ables X, G, and Y , we can have the following equalities:
The orders α ∈ {1, 0, ∞, −∞} are defined by continuous n2
Dα n1
(pX|GY ||qX|GY |pG , pY |G ) = Dα (pX|Y ||qX|Y |pY ), (12)
extension of (8). n2 BLP
Dα (pX|GY ||qX|GY |pG , pY |G ) = Dα (pX|G ||qX|G |pG ), (13)
n1
We can check that this quantity satisfies two natu- Dα (pX|Y ||qX|Y |pY ) = Dα (pX ||qX ), (14)
ral properties which are expected from a CR-divergence: BLP
Dα (pX|G ||qX|G |pG ) = Dα (pX ||qX ). (15)
i) non-negativity, and ii) reduction to the Rényi diver-
gence. The latter means that when X ⊥ ⊥ Y (X in- The first equality holds when (X, Y ) ⊥⊥ G, the second
dependent of Y ) we recover the Rényi divergence as: and third equalities when X ⊥⊥ Y , and the fourth equality
Dαn1 (pX|Y ||qX|Y |pY ) = Dα (pX ||qX ). Another desirable when X ⊥⊥ G.
property to have is the data processing inequality.
The previous remarks and results are summarised in
Lemma 1. (Data processing inequality for the n1- Fig. 1. We now move on to the description of expected
CR-divergence) Consider conditional PMFs pX|Y , qX|Y , utility theory and prospect theory from the economic sci-
PMF pY , and orders α ∈ (0, 1), then: ences.

Dα (pX ||qX ) ≤ Dαn1 (pX|Y ||qX|Y |pY ), (9) Dαn2(pX|GY ||qX|GY |pGY )
P
with the PMFs pX , qX given by p(x) := y p(x|y)p(y), (X, Y ) ⊥
⊥G X ⊥⊥ Y
P
q(x) := y q(x|y)p(y).
Dαn1(pX|Y ||qX|Y |pY ) DαBLP(pX|G||qX|G|pG)
The proof of this lemma is in Appendix C. It will also
prove useful to consider the following inequality between X ⊥⊥ Y X ⊥⊥ G
the n1-CR-divergence and the BLP-CR-divergence. Dα(pX ||qX )
Lemma 2. (Inequality between the n1-CR divergence FIG. 1. Relation between the new conditional Rényi diver-
gences, the BLP-CR divergence, and the Rényi divergence.
and the BLP-CR divergence) Consider conditional PMFs C
pX|Y , qX|Y , PMF pY , and orders α ∈ (−∞, 0) ∪ (0, 1) ∪ A → B means that “quantity A becomes equal to quantity B
when condition C holds”. The notation X ⊥⊥ Y means that
(1, ∞), we have:
X is independent of Y .
Dαn1 (pX|Y ||qX|Y |pY ) ≤ DαBLP (pX|Y ||qX|Y |pY ), (10)

with the n1-CR divergence (8) and the BLP-CR diver-

gence (6).
The proof of this lemma is in Appendix D. We now
introduce a second information-theoretic quantity which
is more general than the described above.
B. Expected utility theory, risk-aversion, the
certainty equivalent, and prospect theory
The theory of expected utility, first formalised in the
work of von Neumann and Morgenstern [6], deals with

rational agents and their prospects of earning, losing,
hoarding, and interchanging goods like wealth, services,
and similar assets. A central object of study here is
the concept of utility function, a real-valued function
u : A → R, with A a set of “alternatives” endowed with
a binary relation ≺. The general idea is for the utility
function to represent the level of satisfaction of a ratio-
nal agent (u(a) ∈ R) with the prospect of acquiring a
specific alternative (a ∈ A). The binary relation a ≺ b
can be regarded as “alternative b represents more wealth
or more services than alternative a”. Now, it is then nat-
ural for rational agents to be more pleased with b than
with a, and so this should be reflected in the agent’s util-
ity function as u(a) < u(b), which therefore imposes the
utility function to be a monotone for the binary relation.
This is an appealing way of formalising utility, since it
is natural for a rational agent to regard more goods or
wealth, as something generally better than less goods or
wealth.
In this work we deal with the set of alternatives being
either wealth, or wealth ratios (to be introduced later on
in the document), and so it is enough to consider an inter-
val in the real numbers A ⊆ R, with the binary relation
being the standard relation <. In this section we then
address the quintessential example of an utility theory of
wealth. The utility function being monotonic gets trans-
lated into being an strictly increasing function and, addi-
tionally, we ask for it to be twice-differentiable, for math-
ematical convenience, and because it is natural to con-
sider that small changes in wealth imply small changes
in the agent’s satisfaction. We note here that the utility
function does not necessarily need to be positive or nega-
tive, since the idea is for it to compare alternatives only.
We also note that whilst one could exclusively work with
positive wealth, one can also construct scenarios where
wealth is negative, and so the utility function would then
naturally represent the level of (dis)satisfaction of the ra-
tional agent when having to pay or give back the amount
of wealth in question [9].
Another important aspect of the theory of expected
utility is the behaviour of a rational agent in the presence
of uncertainty. Consider an random event distributed ac-
cording to the PMF pX on a finite alphabet X , and a
distribution of wealth given by wX , with w(x) ∈ R≥0 ,
∀x ∈ X . The pair (pX , wX ) is often refereed to as a lot-
tery. Fix a lottery (pX , wX ) and consider a game where
a rational agent, represented by a utility function u, is
asked to predict outcome x ∈ X , which occurs with prob-
ability p(x), and for which is rewarded (after correctly
guessing) an amount of wealth w(x) ∈ R≥0 . The ex-
pected utility of the rationalPagent playing such a game
is given by EpX (u(wX )) = x u(w(x))p(x). Using this
expected utility, a central object of interest is that of
the certainty equivalent (CE). The CE is defined as the
amount of wealth wCE which has an utility that exactly
matches the expected utility of the lottery as:
u wCE = EpX [u (wX )] .



(16)
5
Qualitatively, the CE represents how attractive the lot-
tery is to the rational agent. In other words, it represents
the minimum certain amount of wealth that the rational
agent is willing to receive, so to get persuaded of not play-
ing the game. We remark here that the CE is a quantity
that depends both on the lottery (pX , wX ) as well as on
the agent’s utility function u, and so we can explicitly
write this as:
wuCE (pX , wX ) = u−1 (EpX (u(wX ))) . (17)
The CE stands out as an important quantity because op-
timising it is equivalent to optimising the expected utility,
due to the utility function being strictly increasing and
because u(wCE ) = EpX [u(wX )]. Taking the latter into
account, and that the CE has units of wealth [w] ($, £,
¥, ...), it is usually better to consider the CE, instead of
the expected utility, as the figure of merit for the setups
involving rational agents placing bets that we will address
later on. In addition to this, the CE helps establishing
the characterisation of risk tendencies of rational agents
[9]. Using the CE, the concept of risk-aversion in the
context of utility theory emerges via the highly nontriv-
ial realisation that the risk-attitude of a rational agent
is related to the concavity (risk-averse), convexity (risk-
seeking), or linearity (risk-neutral) of the agent’s utility
function [33–36] (a detailed derivation for both positive
and negative wealth is in [9]). One common measure of
risk-aversion is the so-called relative risk aversion (RRA)
measure given by [34–36]:
00
u (w)
RRAu (w) := −w . (18)
u0 (w)
This quantifier is dimensionless, which is a characteris-
tic not satisfied by all quantifiers of risk-aversion [34–36].
The RRA measure does not assign a global value for risk
aversion, so we ask here for utility functions where the
agent’s RRA is constant. We can solve (18) assuming
RRA(w) = R, leading to the constant relative risk aver-
sion (CRRA) function, or isoelastic utility function, for
both positive and negative wealth as:
uIR (w) = sgn(w) lnR (|w|), (19)
with the auxiliary “sign” function (1) and the R-
deformed natural logarithm as:
(
ln x, R = 1,
lnR (x) := x1−R −1 (20)
1−R , R 6= 1,
with the deformation parameter R ∈ R. The parame-
ter R varies from minus to plus infinity, describing all
possible risk tendencies of the rational agent, for either
positive or negative wealth [9]. The certainty equivalent
of the isoelastic function, or isoelastic certainty equivalent
(ICE), the figure of merit in this work, is given by:
ICE
(pX , wX ) := (uIR )−1 EpX (uIR (wX )) .
wR (21)

We now address a generalisation of expected utility
theory which goes under the name of prospect theory
[10]. The original version of this theory, here addressed
as original prospect theory (OPT), was first introduced
by Kahneman and Tversky in 1979 [10], as a generali-
sation of expected utility theory where, amongst other
features, decision-making agents do not necessarily have
to behave rationally in regards to the assessment of prob-
abilities. More explicitly, this means that when dealing
with decision problems, decision-making agents do not
necessarily regard probabilities as {p(x)}, but instead
treat probabilities in a distorted manner as {π(p(x))},
with π : [0, 1] → [0, 1] a probability weighting function
[37–40]. This generalisation better matches experimen-
tal data and has more explanatory power than EUT.
Later on, OPT was further generalised into cumulative
prospect theory (CPT) in 1992 [41]. In general, the de-
scriptive power of prospect theory has had profound im-
plications in various research fields, most notably within
the discipline of behavioural economics. These efforts
were acknowledged with the Sveriges Riksbank Prize in
Economic Sciences in Memory of Alfred Nobel in 2002 to
Daniel Kahneman and Vernon L. Smith (Tversky passed
away in 1996 and Nobel prizes are not awarded posthu-
mously). These two variants of prospect theory, OPT
and CPT, are areas of active research in modern eco-
nomic sciences [42–44]. We now proceed to describe OPT
in more detail.
In original prospect theory (OPT), the expected utility
of a lottery (pX , wX ), for a decision-making agent rep-
resented by the utility function (u), is generalised to a
value function, where the decision-making agent is repre-
sented instead by a pair of utility function and probabil-
ity weighting function (u, π). The value function in OPT,
PT
denoted here as vu,π , is calculated in OPT according to
the composition rule given by:
PT
X ered in the economic sciences. In the utility theory of
vu,π (pX , wX ) := π(p(x)) u(w(x)). (22)
x
This value function is meant to preserve the meaning
behind that of the expected utility, in the sense that
decision-making agents would now behave as value func-
tion maximisers (as opposed to expected utility maximis-
ers), meaning that agents would prefer the lottery which
maximises their value function. Taking into account that
the value function is still a linear combination of the utili-
ties {u(w(x))} (so it still has units of “utility of wealth”),
we can still define a certainty equivalent of wealth now
for prospect theory as:
CE−PT
(pX , wX ) := u−1 vu,π PT


wu,π (pX , wX ) . (23)
As in EUT, the CE for OPT represents the value (in units
of wealth) that a decision-making agent (represented by
the pair (u, π)) assigns to the lottery (pX , wX ). In partic-
ular, we can naturally recover both the expected utility
and the standard CE by considering that the decision-
making agent behaves completely rational with respect
6
to probabilities π(·) = id(·) as:
PT
vu,π=id (pX , wX ) = EpX (u(wX )), (24)
CE−PT
wu,π=id (pX , wX ) = u−1 (EpX (u(wX ))) . (25)
In this work we consider a power probability weighting
function as π(p) := pS , S ∈ R [37–40]. This function
encapsulates the behaviours of optimism (S < 1) as well
as pessimism (S > 1) [44, 45]. We now establish our
main results.
III. MAIN RESULTS
We now start with the presentation of our main results.
We first introduce operational tasks based on betting
for the utility theory of wealth, where both gambler and
bookmaker have access to side information, or double side
information for short. We then characterise these tasks
in terms of information-theoretic quantities and gener-
alise these results to prospect theory. We then intro-
duce a utility theory for wealth-ratios and interpret there
the Ilić-Djordjević mutual information measure. We then
also derive a generalised chain rule for the Ilić-Djordjević
conditional entropy. Finally, we address the implications
of these results on the framework of quantum resource
theories.
A. Utility theory of wealth and betting games with
double side information
We invoke a utility theory of wealth and address here
operational tasks involving betting. The utility theory
of wealth represents the quintessential example of a util-
ity theory, since it is the default utility that is consid-
wealth, we can address decision problems where a ratio-
nal agent is asked to make a choice between two lotter-
ies, and these decisions are going to give away the type
of utility function that represents the agent’s economic
behaviour. These decision problems, whilst useful in this
regard, are at the same time somewhat limited, in the
sense that the actions of rational agents are effectively
limited to (only) decide between various options and, in
this sense, the agent can be seen as playing a passive
role in the scenario. In this regard, there is neverthe-
less a natural way to allow the rational agent to have
a more active participation in the decision problem, the
idea being to allow the rational agent to implement bet-
ting. In a betting scenario, as in a decision problem, the
rational agent is still presented with a set of options to
choose from, but now the agent is additionally going to
be allowed to place bets on the lotteries in question, so
effectively have a more active role. Let us now address
this more formally.
A general betting task is a protocol involving two
agents: a referee and a gambler. Consider a random
 7

event distributed according to the PMF pX . Similar to a values R ∈ (−∞, 1) ∪ (1, ∞) can be written as:
decision problem, the referee is going to ask the gambler ICE
to decide between a lottery or a fixed (certain) amount wR (bX|G , oX|Y , pXGY )
= (uIR )−1 EpXGY [uIR (wXGY )]


of wealth. The lottery in question is given by a pair (27)
(pX , wX ), with wX a distribution of wealth. The main " 1
# 1−R
difference with a standard decision problem is that now X 1−R
the gambler can play a more active role when it comes = b(x|g) o(x|y) p(x, g, y) . (28)
g,x,y
to the amount of wealth that he is going to receive. This
is because the wealth to be rewarded is now considered a The cases R ∈ {1, ∞, −∞} are defined by continu-
function with two components as wX = bX oX , with oX a ous extension of (28). A betting task is specified by
function refereed to as the odds (not necessarily a PMF), (oX|Y , pGXY ), and the gambler plays this game with a
which is proposed by the referee, and a PMF bX , which betting strategy bX|G .
represents the bet placed by the gambler. The idea is
that after correctly guessing the outcome of the random We now address some particular cases of interest.
event, the referee rewards the gambler with an amount Remark 2. (Betting tasks with individual side informa-
of wealth given by w(x) = b(x)o(x). It is then explicit tion) It is useful to specify here two natural scenarios.
that the gambler can influence the amount of wealth to First, a scenario where only the gambler has access to
be rewarded. In this decision problem involving betting, side information (or betting task with gambler’s side in-
or betting task for short, the quantity that describes the formation):
gambler’s assessment of the lottery (pX , wX ) is the cer- " # 1
1−R
tainty equivalent of wealth given by: ICE
wR (bX|G , oX , pXG ) =
X
b(x|g) o(x)
1−R
p(x, g) . (29)
g,x
wuCE (bX , oX , pX ) = u−1 (EpX [u(wX := bX oX )]) , (26)
Second, a scenario where only the bookmaker has access
which represents the minimum amount of wealth that to side information (or betting task with bookmaker’s side
the gambler is willing to accept so to walk away from information):
the lottery. We can similarly introduce scenarios dealing " # 1
1−R
with negative wealth, where the decision problem and ICE
wR (bX , oX|Y , pXY ) =
X
b(x) o(x|y)
1−R
p(x, y) . (30)
consequently the betting task is now dealing with losses y,x
instead of gains. This scenario can naturally be included
by allowing the odds function to be negative (full details One useful concept to introduce here is that of the fair-
about this construction in [9]). ness of the odds [5, 8]. Given a conditional odds function
One common characteristic amongst works in the lit- oX|Y , we consider the quantity:
erature addressing betting tasks so far, is the assump- !−1
tion of side information being available exclusively to (o)
X
−1
c (y) := |o(x|y)| , (31)
the gambler [7–9]. In this work we further extend this to
x
include a more elaborate scenario in which both gambler
and bookmaker can now have access to side information. and classify the fairness of the odds as follows:
We coin this scenario as betting tasks with double side
information, and formalise it as follows. c(o) (y) = 1, ∀y, Fair odds. (32)
(o)
c (y) > 1, ∀y, Superfair odds, (33)
Definition 6. (Betting tasks with double side informa-
(o)
tion) Consider a random event described by the PMF pX . c (y) < 1, ∀y, Subfair odds. (34)
Consider also random variables G (gambler’s side infor-
Finally, we allow the gambler to optimise over all possible
mation) and Y (bookmaker’s side information) correlated
betting strategies, for a given game setup (oX|Y , pXGY ):
with the random variable X and described by the joint
PMF pXGY . Consider now a game (betting task) with a ICE
max wR (bX|G , oX|Y , pXGY ), (35)
referee and a gambler (rational agent), with the latter be- bX|G
ing represented by an isoelastic utility function uIR (·) with
with the maximisation over all conditional PMFs. It is
a constant relative risk aversion (CRRA) factor R ∈ R. also going to be useful to introduce the following auxiliary
The game consists on the gambler placing “a bet” with function, which we here simply address as the logarithm
the help of side information G as bX|G (a conditional of the ICE:
PMF) on the output of the random event. The referee ICE
then rewards the gambler (when guessing correctly) with UR (bX|G , oX|Y , pXGY ) (36)
h i
an amount of wealth given by w(x, g, y) = b(x|g) o(x|y), := sgn(o) ln wR ICE
(bX|G , |oX|Y |, pXGY ) .
with oX|Y the conditional “odds”, a pre-established func-
tion proposed by the referee (not necessarily a PMF), and We are now ready to address our main results concerning
known to the gambler. The figure of merit of interest here the characterisation of these operational tasks in terms
is the isoelastic certainty equivalent (ICE), which for risk of information-theoretic quantities.
 8

B. Information-theoretic characterisation of
betting games with double side information
In this subsection we address the characterisation of
various types of betting tasks in terms of information-
theoretic quantities. We start with betting tasks with
bookmaker’s side information (only the bookmaker has
access to side information), followed by general betting
tasks with double side information (both gambler and
bookmaker have access to side information). We com-
pare the performance of a rational agent when playing
betting tasks where there is bookmaker’s side informa-
tion, against a scenario with no side information at all.
Similarly, we then compare the performance of a rational
agent when playing betting tasks where there is book-
maker’s side information against a scenario with gam-
bler’s side information.
Result 1. (Characterisation of betting games with book-
maker’s side information) Consider a betting game de-
fined by the pair (oX|Y , pXY ), with fair odds as c(o) (y) =
−1
P
x |o(x|y)| = 1, ∀y. Consider now a gambler play-
ing this game with a betting strategy given by bX . Then,
we have that the logarithm of the ICE is characterised by
the n1-CR divergence Dαn1 (·|| · |·) and the R-divergence
Dα (·||·) as:
URICE bX , oX|Y , pXY


(37)
n1 (o)
= sgn(o) sgn(R) D1/R (pX|Y ||rX|Y |pY )
− sgn(o) sgn(R) DR (hX
(R,o,p)
||bX ),
with the PMFs r(o) (x|y) := |o(x|y)|−1 , and:
P
y p(xy) |o(x|y)|1−R
h(R,o,p) (x) :=
P P
x0 y p(x0 y) |o(x0 |y)|1−R
The proof of this result is in Appendix E. This result
characterises betting tasks with bookmaker’s side infor-
mation. In particular, a consequence of this result is
the explicit form of the optimal betting strategy for the
gambler to play these games, as well as an operational
interpretation of the n1-CR divergence.
Corollary 1. (Optimal betting strategy for betting tasks
with bookmaker’s side information) Consider a betting
scenario with sgn(o) = sgn(R). We can readily check,
from the previous decomposition, that the optimal betting
(R,o,p)
strategy is given by b∗X = hX , which achieves the
quantity:
ICE n1
max UR (bX , oX|Y , pXY ) = D1/R (pX|Y ||rX|Y |pY ).
bX
We can also recover the known case where there is no
side information as a corollary [8].
Corollary 2. (Optimal betting strategy for betting tasks
with no side information) Consider a betting scenario
with sgn(o) = sgn(R). From the previous corollary, and
using the fact that the n1-CR-divergence reduces to the
Rényi divergence when X ⊥⊥ Y , we have:
(o)
max URICE (bX , oX , pX ) = D1/R (pX ||rX ). (40)
bX
With these two corollaries in place, we can now anal-
yse the performance of a rational agent when playing a
betting task with bookmaker’s side information in com-
parison to a scenario with no side information.
Corollary 3. (Ratio of betting games between book-
maker’s side-information and no side-information) Con-
sider R ∈ [1, +∞], with the
P odds function for each betting
game related as o(x) := y o(x|y)p(y), then:

max wRICE
(bX , oX|Y , pXY )

ln  X
b
 (41)
ICE
max wR (bX , oX , pX )
bX
= n1
D1/R
(o) (o)
||rX|Y |pY ) − D1/R (pX ||rX ) ≥ 0,
(pX|Y
P
with the PMFs pX , rX given by p(x) := y p(x|y)p(y),
P
r(x) := y r(x|y)p(y).
Details about this corollary in Appendix G. The in-
equality in the corollary follows from the data processing
inequality derived in Lemma 1. This corollary is telling
us that it is more useful for the gambler when the book-
maker has access to side information, as opposed to no
side-information at all. This is a rather counterintuitive
statement, because one can naively expect that it should
actually be worse for the gambler, when the bookmaker is
the one having access to side information. This is how-
ever, as the maths is telling us, not the case. The ex-
 R1 planation of this seemingly paradoxical situation is that,
even though the bookmaker is the agent explicitly having
 R1 . (38) access to the side information, we should not forget that
she is still in charge of proposing the conditional odds
function oX|Y , which itself depends on Y , and that this
odds in turn are going to be known to the gambler (as
per the rules of the betting game), so that ultimately the
gambler does have access to the side information Y , al-
though via this implicit manner. From a technical point
of view, it is also interesting that the inequality holds for
R ≥ 1, and so it could prove insightful to understand its
behaviour for other values, but we leave this however for
future research. We now can also compare rational agents
playing betting tasks with bookmaker’s side information
and gambler’s side information.
Corollary 4. (Ratio of betting games between
bookmaker’s side-information and gambler’s side-
(o) information) Consider R ∈ R then:
(39)
 
ICE
max wR (bX|G , oX , pXG )
 bX|G
sgn(R) ln  (42)

ICE

max wR (bX , oX|G , pXG )
bX
BLP (o) n1 (o)
= D1/R (pX|G ||rX|G |pG ) − D1/R (pX|G ||rX|G |pG ) ≥ 0,
 9

with thePodds function for each betting game related as C. Generalisation to original prospect theory
o(x) := g o(x|g)p(g).
Details about this corollary in Appendix H. This corol- In this section we address betting tasks from the point
lary is telling us that side-information is more useful of view of prospect theory. In particular, we analyse here
when given to the gambler directly, as opposed to when betting tasks with no side information, as well as betting
it is given to the bookmaker. This confirms what one tasks with gambler’s side information. Additionally, we
can intuitively expect, with the added benefit that this consider here the certainty equivalent for prospect the-
corollary allows us to quantify the advantage provided ory with the isoelastic utility function together with the
by giving the side information directly to the gambler. power probability weighting function.
We now move on to the more general scenario of betting
tasks with double side information.
Result 3. (Characterisation of betting tasks with no side
Result 2. (Characterisation of betting games with dou- information within prospect theory) Consider a betting
ble side information) Consider a betting game defined by game specified by the pair (oX , pX ), and a gambler repre-
the pair (oX|Y , pXGY ), and fair odds so that c(o) (y) = sented by the pair (R, S) (R is the standard CRRA whilst
P −1 S is the coefficient related to the agent’s sensitivity when
x |o(x|y)| = 1, ∀y. Consider also a gambler play-
ing this game with a betting strategy bX|G . Then, the assessing probabilities) playing this game with a betting
logarithm of the ICE is characterised by the the n2-CR- strategy bX . The logarithm of the ICE within prospect
divergence Dαn2 (·|| · |·) and the R-divergence Dα (·||·) as: theory is characterised by the R-divergence Dα (·||·) and
the Rényi entropy Hα (·) as:
UR (bX|G , oX|Y , pXGY ) (43)
  h i
n2 (o) CE−PT
= sgn(o) sgn(R)D1/R pX|GY ||rX|Y |pG , pY |G sgn(o) ln wR,S (bX , |oX |, pX ) (46)
1−S
 
(R,o,p) (R,o,p) (R,o,p)
− sgn(o) sgn(R)DR hX|G hG bX|G hG , = sgn(o) sgn(S) HS (pX ) + sgn(o) log |c(o) |+
1−R
(S,p) (o)
with the conditional PMF r(o) (x|y) := |o(x|y)|−1 , and the + sgn(o) sgn(R) D1/R (qX ||rX )
conditional PMF and PMF: (R,S,o,p)
− sgn(o) sgn(R) DR (hX ||bX ),
P 1
1−R R
y p(xy|g) |o(x|y)|
h(R,o,p) (x|g) :=  1 , (44) with the parameter and the PMFs:
0 y|g) |o(x0 |y)|1−R R
P P
x0 y p(x
  1 R !−1
P P 1−R R c(o)
p(g) y p(xy|g) |o(x|y)|
X
x c(o) := o(x)−1 , r(o) (x) := , (47)
h(R,o,p) (g) :=   1 R . x
o(x)
P P P R
g0 p(g 0 ) p(xy|g 0 ) |o(x|y)|1−R 1 1−R
x y q(x) R o(x) R
h(R,S,o,p) (x) := P 1 1−R , (48)
0) R o(x0 )
x0 q(x
R
The proof of this result is in Appendix F. Similar to
S
the previous case, we can also identify here the optimal p(x)
q (S,p) (x) := P . (49)
betting strategy to be implemented by a gambler playing 0 S
x0 p(x )
these games, and provide an operational interpretation
of the n2-CR divergence. (o) (R,S,o,p)
The functions rX and hX define valid PMFs even
Corollary 5. (Optimal betting strategy for betting tasks for negative odds (o(x) < 0, ∀x).
with double side information) Consider a betting scenario
with sgn(o) = sgn(R). We can readily check, from the
previous decomposition, that the optimal betting strategy The proof of this result is in Appendix I. We now con-
(R,o,p)
is given by b∗X|G = hX|G , which achieves the quantity: sider a CE of wealth with the isoelastic utility function
and the power probability weighting function in a sce-
nario with gambler’s side information. We find the fol-
max URICE (bX|G , oX|Y , pXGY ) (45)
bX|G lowing characterisation.
n2 (o)
= D1/R (pX|GY ||rX|Y |pG , pY |G ).
Result 4. (Characterisation of betting tasks with gam-
From this general result, and using the relationship bler’s side information within prospect theory) Consider
between conditional divergences, we can recover the pre- a betting game specified by the pair (oX , pXG ), and a
vious corollaries as particular cases. We now move on gambler represented by the pair (R, S) playing this game
to further generalise these results, from the theory of ex- with a betting strategy bX|G . The logarithm of the ICE is
pected utility to prospect theory. characterised by the R-divergence Dα (·||·), the BLP-CR
 10

divergence DαBLP (·||·), and the Rényi entropy Hα (·) as: We note that reducing to standard expected utility the-
h i ory (by specifying S = 1), the second terms vanishes,
CE−PT
sgn(o) ln wR,S (bX|G , |oX |, pXG ) (50) and we recover the Result 5 in [9]. This provides an op-
erational interpretation for the second Rényi conditional
1−S entropy; it quantifies the deviation achieved when con-
= sgn(o) sgn(S) HS (pXG ) + sgn(o) log |c(o) |+
1−R sidering prospect theory against standard expected util-
BLP (S,p) (o) (S,p) ity theory. Finally, we note that we can similarly define
+ sgn(o) sgn(R) D1/R (qX|G ||rX |qG )+
variants for betting tasks with bookmaker’s side infor-
(R,S,o,p) (R,S,o,p) (R,S,o,p)
− sgn(o) sgn(R) DR (hX|G hG ||bX|G hG ), mation, and double side information and derive similar
decompositions. This finishes our main results concern-
with the parameter and the PMF: ing the utility theory of wealth. We now consider a utility
!−1 theory of wealth ratios.
X c(o)
c(o) := o(x)−1 , r(o) (x) := , (51)
o(x)
x D. Utility theory of wealth ratios

and the conditional PMF, PMF, and escort PMF:

We now introduce an extension of the utility theory of
1−R
1
q(x|g) o(x)
R R wealth. Let us start with the standard setup for a util-
h(R,S,o,p) (x|g) := P 1 1−R , (52) ity theory of wealth. Consider a PMF pX describing a
x0q(x0 |g) R o(x0 ) R
" #R random event, a rational agent represented by the util-
X 1 1−R ity function u(·), and the scenario for a betting task so
p(g) q(x0 |g) R o(x0 ) R that we have the rational agent’s CE as wuCE (bX , oX , pX ).
x0
h(R,S,o,p) (g) := " #R , (53) The motivation now is to compare the performance of
X 0
p(g )
X 0
q(x
1 1−R
|g 0 ) R o(x0 ) R
different betting strategies for the same betting task
g0 x0
(oX , pX ), this means that we want to consider two differ-
ent betting strategies b1X and b2X whilst keeping the same
p(x|g)S
q (S,p) (x|g) := P 0
, (54) gambler (same utility function u(·)), same odds function
x0 p(x |g)
S
X (S,p) oX , the same PMF pX . Explicitly, this amounts to com-
q (S,p) (g) := q (x, g). (55) pare the two quantities:
x
wuCE b1X , oX , pX , wuCE b2X , oX , pX .



(57)
(o) (R,S,o,p) (R,S,o,p)
The quantities rX , hX|G , hG define valid
PMFs even for negative odds (o(x) < 0, ∀x). Without of loss of generality, we can assume that one
of them (say the first one) is greater or equal than the
The proof of this result is in Appendix J. We now con- other (say the second one) and define the advantage that
sider constant odds as osgn(α)c (x) := sgn(α)C, C > 0, betting strategy b1X has over betting strategy b2X as:
∀x, and compare the two previous results to quantity the

advantage provided by side information. 1,2 1 2

wuCE b1X , oX , pX
Au bX , bX , oX , pX := CE 2 ≥ 1. (58)
wu (bX , oX , pX )
Corollary 6. (Advantage provided by gambler’s side in-
formation for betting tasks within prospect theory) Con- This ratio is operational in nature, as it is explicitly com-
sider a betting game defined by (oX
sgn(R)c
, pXG ) with con- paring the performance of the betting strategies b1X and
stant odds as o sgn(α)c
(x) := sgn(α)C, C > 0, ∀x, and b2X . This ratio can then be understood as the wealth ra-
a joint PMF pXG . Consider a first gambler having ac- tio or the advantage that the first betting strategy offers
cess to side information G, against a second gambler with against the second betting strategy. We also note that
no access to side information. Both gamblers are repre- A1,2
u ∈ [1, ∞). In a similar manner, and when consider-
sented by isoelastic functions uIR (·). The gamblers are ing scenarios with gambler’s side information, a natural
allowed to independently optimise overall betting strate- ratio that emerges is the following:
gies. We have the following relationship:
max wuCE (bX|G , oX , pXG )
bX|G
sgn(R)c ASI
u (oX , pXG ) := , (59)
 CE−PT

max wR,S (bX|G , oX , pXG ) max wuCE (bX , oX , pX )
 bX|G bX
sgn(R) ln   (56)

CE−PT sgn(R)c
max wR,S (bX , oX , pX ) P
bX with p(x) := g p(x|g)p(g). In this case, the wealth ratio
A (S,p) 1−S 2 in question is quantifying the advantage provided by side
= I1/R (qXG ) + sgn(RS) H (pG|X pX ), information G. Given these two ratios, it then seems nat-
1−R S
ural to consider a utility theory based on “advantage”,
with Arimoto’s mutual information and the second Rényi given in terms of wealth ratios, instead of wealth by it-
conditional entropy. self. Now, in general terms, we can naturally address a

new utility theory based on such wealth ratios, which can
be interpreted as the level of satisfaction that a rational
agent would experience with the prospect of achieving
such an advantage. The quantities which naturally arise
in such utility theory based on wealth ratios are then
given by:
v A1,2 b1X , b2X , oX , pX ,



u (60)
SI


v Au (oX , pXG ) , (61)
with v : [1, ∞) → R a utility function for wealth ratios,
and u(·) a standard utility function for wealth. We note
that these two utility functions can be different, as ra-
tional agents can have a specific attitude with respect to
wealth, and a different when considering the growth of
such wealth. Whilst this formalism can be introduced for
general utility functions (u, v), for simplicity, let us as-
sume rational agents described by isoelastic utility func-
tions as u(·) = uIR (·), v(·) = uIS (·), with different attitude
to risk as S 6= R. We are now ready to describe betting
tasks from the point of view of utility theories of wealth
ratios.
E. Sharma-Mittal information-theoretic quantities
and the EUT of wealth ratios
In this section we characterise the advantage provided
by side information within utility theories of wealth ra-
tios. We then derive a generalised chain rule for the ID
conditional entropy.
Result 5. (Operational interpretation of the Ilić-
Djordjević mutual information measure) The Ilić-
ID
Djordjević mutual information measure Iq,r (X; G) of or-
ders (q, r) ∈ R × R of a joint PMF pXG is given by:
ID
Iq,r (X; G)
sgn(q)c
 ICE

max w1/q (bX|G , oX , pXG )
 bX|G
= sgn(q) ur  .

ICE sgn(q)c
max w1/q (bX , oX , pX )
bX
The Ilić-Djordjević entropy quantifies the utility of a r-
agent on the wealth ratio (advantage) provided by side
information G achieved by a 1/q-agent when the latter
plays betting tasks where odds are constant.
The proof of this result is in Appendix K. This re-
sult holds true for any joint PMF pXG as well as for any
combination of orders (q, r) ∈ R × R. Finally, due to the
generality of this result, we can derive operational inter-
pretations for the generalised mutual information mea-
sures of Rényi, Tsallis, Gauss, when taking the respec-
tive limits. We now derive a generalised chain rule for
the Ilić-Djordjević conditional entropy.
Result 6. (Generalised chain rule for the Sharma-Mittal
entropy and the Ilić-Djordjević conditional entropy) The
11
Ilić-Djordjević conditional entropy of orders (q, r) ∈ R ×
R satisfies the condition:
ID
h
SM
i
sgn(q)Hq,r (X|G) ≥ sgn(q) Hq,r (XG) r lnr (K) , (63)
with r the pseudo-substraction.
The proof of this result is in Appendix L. In particular,
we recover a known case in the literature as a limit case.
Corollary 7. We recover the case for the Arimoto-Rényi
conditional entropy. For r = 1, q ≥ 0, HqA (X|G) ≥
HqR (X) − log(K) [13].
Considering this property, together with the opera-
tional interpretation in terms of betting tasks, the Ilić-
Djordjević conditional entropy stands out as a very ap-
pealing conditional entropy à la Sharma-Mittal. In ad-
dition to this, it is also worth highlighting that its as-
sociated mutual information satisfies various desirable
properties, which are not simultaneously valid for other
alternatives à la Sharma-Mittal [1]. Altogether, these
results therefore make the quantities introduced by Ilić-
Djordjević stand as strong generalisations of entropic
quantities à la Sharma-Mittal. We now address the im-
plications of these latter results on the field of quantum
resource theories.
F. Implications on the QRTs of informative
measurements and non-constant channels
We now consider the implications of the previous
results on quantum resource theories, specifically, the
QRTs of measurement informativeness and non-constant
channels. A quantum state is a trace one (Tr(ρ) = 1)
positive semidefinite operator (ρ ≥ 0) acting on a finite-
dimensional Hilbert space. A positive operator-valued
measure (POVM) or quantum measurement is a set of
(62) positive semidefinite operators M = {Ma ≥ 0} such that
P
a Ma = 1. An ensemble of quantum states is a set
E = {ρx , p(x)}, x ∈ {1, ..., K}, with pX a PMF. A quan-
tum channel is a completely positive trace-preserving
(CPTP) map [46].
In the framework of quantum resource theories
(QRTs), it is common to first specify the mathematical
objects of the theory, followed by a property of such ob-
jects to be considered as a resource [47]. We invoke here a
QRT of measurements with the resource of informative-
ness [48]. A POVM M = {Mg } is called uninformative
when there exists a PMF qG such that the POVM effects
can be written as Mg = q(g)1, ∀g [48, 49]. The set of
uninformative measurements is denoted as UI. We also
invoke here a QRT of channels with the resourceful chan-
nels being non-constant channels. A quantum channel N
is called constant when there exists a state σN such that
N (ρ) = σN , ∀ρ. The set of constant channels is denoted
as C. There are two natural betting tasks to be con-
sidered in the quantum domain, quantum state betting
(QSB) and noisy quantum state betting (NQSB) [9].
 12

One pragmatical way of introducing quantum state sgn(q) C, C > 0, ∀x, an ensemble of states E =
betting (QSB) games is to consider a standard betting {ρx , p(x)}, and a quantum channel N . Consider a first
game where the conditional PMF pG|X is now given by rational agent (gambler) represented by the isoelastic util-
p(g|x) = Tr[Mg ρx ] for a given measurement M = {Mg } ity function u1/q . We now compare the performance of
and a given ensemble of states E = {ρx , p(x)}. Opera- this gambler having access to the quantum channel N , in
tionally speaking, here the referee prepares the ensem- comparison to being allowed to implement any possible
constant channel N 0 ∈ N . In each case the gambler is
ble of states E, sends one of these states to the gam-
allowed to play the betting task with the optimal betting
bler (say ρx ), and then the gambler’s goal is to try to strategy, and to optimise over all possible measurements.
identify the received state, by performing the measure- We also remember here that the gamblers are interested
ment M = {Mg }, and then using the outcome of this in maximising the isoelastic certainty equivalent (ICE).
measurement to propose a betting strategy b(x|g) [9]. Finally, consider a rational agent represented by a utility
In a similar manner, in a noisy quantum state betting function ur , who assesses the performance of the advan-
(NQSB) game, the conditional PMF pG|X is given by tage achieved by the 1/q-agent. This latter assessment is
p(g|x) = Tr[Mg N (ρx )], with the operational interpreta- given by the ID mutual information measure as:
tion being same as for a QSB game, with the exception ID
Iq,r (X; G)E,N = (66)
that the state the gambler receives is now affected by the    
NQSB sgn(q)c
(potentially noisy) channel N [9]. With these considera- 
max max w1/q
M bX|G
bX|G , M, oX , E, N

tions in place, Result 5 gets translated as follows. sgn(q) ur 
  .
NQSB sgn(q)c 0 
max
0
max max w1/q bX|G , N, oX , E, N
N ∈C bX|G
Result 7. Consider a QSB game defined by the pair N
sgn(q)c
(oX , E) with constant odds as osgn(q)c (x) := sgn(q) C, This result follows from Result 5 and from the ob-
C > 0, ∀x, and an ensemble of states E = {ρx , p(x)}. servation that constant channels are not able to ex-
Consider a first rational agent (gambler) represented by tract information contained in the received state since
the isoelastic utility function u1/q . We now compare the p(g|x) = Tr[Mg N (ρx )] = Tr[Mg σN ] = q(g), and then we
performance of this gambler when the gambler uses a can check that:
fixed measurement M = {Mg }, in comparison to being al-  
NQSB sgn(q)c 0
lowed to implement any possible uninformative measure- max
0
max max w1/q b X|G , N, oX , E, N (67)
N ∈C N bX|G
ment N ∈ UI. We remember here that the gamblers are
ICE sgn(q)c
interested in maximising the isoelastic certainty equiva- = max w1/q (bX , oX , pX ).
bX
lent (ICE), and so in each case the gambler is allowed
to play the betting task with the optimal betting strategy.
Finally, consider a second rational agent represented by
IV. CONCLUSIONS
an isoelastic utility function ur , who assesses the advan-
tage (wealth ratio) achieved by the first 1/q-agent. This
latter assessment is given by the ID mutual information In this work we establish fundamental connections be-
measure as: tween utilities of wealth and information theory. Specif-
ically, we derive results for general utility theories of
ID
Iq,r (X; G)E,M (64) wealth as well as for utility theories of wealth ratios.
  First, regarding utility theories of wealth, we introduce
sgn(q)c
 ICE

max w1/q bX|G , M, oX ,E new operational tasks in the form of betting tasks in
bX|G
= sgn(q) ur 
  .
 which both gambler and bookmaker have access to side in-
ICE sgn(q)c
max max w1/q bX|G , N, oX ,E formation, or betting tasks with double side information
N∈UI bX|G
for short. This, as an extension of works in the literature
where it is usually assumed that only the gambler has
This result follows from Result 5 and from the obser-
access to side information. In particular, we show the
vation that uninformative measurements do not allow for
seemingly counterintuitive fact that, betting tasks with
the extraction of valuable information contained in the
bookmaker’s side information can be more advantageous
received state since p(g|x) = Tr[Mg ρx ] = q(g) Tr[1ρx ] =
(for the gambler) than betting tasks without any side in-
q(g), and therefore we can check that:
formation at all. This apparently paradoxical situation
ICE

sgn(q)c
 can be explained by remembering that whilst in this sce-
max max w1/q bX|G , N, oX ,E (65) nario the bookmaker is indeed the only one having access
N∈UI bX|G
sgn(q)c
to side information, the bookmaker still needs to make
ICE
= max w1/q (bX , oX , pX ). the odds function public (as per the rules of the betting
bX
task) and therefore, the gambler can still implicitly have
We now address the noisy quantum state betting (NQSB) access to the side information in question. Notwithstand-
games and the QRT of non-constant channels. ing this however, we moreover prove that this scenario
cannot be more advantageous (for the gambler) than re-
Result 8. Consider a NQSB game defined by the tu- ceiving the side information directly. We prove this by
sgn(q)c
ple (oX , E, N ) with constant odds as osgn(q)c (x) := linking the scenarios of bookmaker’s side information and
 13

gambler’s side information to conditional Rényi diver- ACKNOWLEDGEMENTS

gences, for which we can derive data processing inequal-
ities and consequently, being able to explicitly compare We thank Francesco Buscemi and Valerio Scarani for
the scenarios in question. We do this by introducing new insightful discussions. A.F.D. acknowledges support from
conditional Rényi divergences that characterise such bet- the International Research Unit of Quantum Informa-
ting tasks, and by deriving some of their properties. This tion, Kyoto University, the Center for Gravitational
then provides operational interpretations to these condi- Physics and Quantum Information (CGPQI), and COL-
tional Rényi divergences as well. Furthermore, we extend CIENCIAS 756-2016. P.S. acknowledges support from
some of these results, from the theory of expected util- a Royal Society URF (NFQI). P.S. is a CIFAR Azrieli
ity, to prospect theory, the latter being a theory in which Global Scholar in the Quantum Information Science Pro-
decision-making agents are allowed to behave irrationally gramme.
(with respect to their assessment of probabilities), albeit
in a systematic manner. We prove that a specific Rényi
conditional entropy quantifies such deviation from ratio- Appendix A: Additional details about some
nality. information-theoretic quantities
Second, regarding utility theories of wealth ratios, we
provide an operational interpretation of the generalised Definition 7. (Conditional-Rényi divergences [32]) The
(q, r) mutual information measure à la Sharma-Mittal re- Sibson conditional-Rényi divergence (S-CR-divergence)
cently introduced by Ilić and Djordjević [1]. Explicitly, it [15], the Csiszár conditional-Rényi divergence (C-
quantifies the utility of an r-agent on a wealth ratio that CR-divergence) [16], and the Bleuler-Lapidoth-Pfister
compares the performance achieved by a 1/q-agent in two conditional-Rényi divergence (BLP-CR-divergence) [8] of
betting scenarios: i) using the best betting strategy with order α ∈ R of PMFs pX|G , qX|G , and pX are denoted as
side information, and ii) using the best betting strategy DαV (pG|X ||qG|X |pX ), with V ∈ {S, C, BLP}. The orders
without side information. In other words, it quantifies α ∈ (−∞, 0) ∪ (0, 1) ∪ (1, ∞) are defined as:
the utility of an r-agent on the advantage achieved (in
betting games) by a 1/q-agent that has access to side in- DαS (pG|X ||qG|X |pX ) (A1)
formation. This interpretation comes in the form a cor-
" #
sgn(α) X X
respondence that holds for general PMFs pXG , as well as := ln p(x) p(g|x)α q(g|x)1−α ,
α−1
general orders (q, r) ∈ R × R. In particular, for orders x g
(q, q), (q, 1), (r, 1), the Ilić-Djordjević mutual informa- DαC (pG|X ||qG|X |pX ) (A2)
tion measure recovers the measures of Tsallis, Arimoto, " #
and Gauss, respectively, and therefore, our result pro- sgn(α) X X
:= p(x) ln p(g|x)α q(g|x)1−α ,
vides an operational interpretation for these quantities α−1 x g
as well. This result also explicitly provides an opera-
tional meaning for the parameters (q, r) ∈ R × R, in
terms of the risk-aversion of rational agents playing bet- DαBLP (pX|G ||qX|G |pG ) (A3)
ting tasks. In particular, whilst the q parameter relates  ! α1 
to the risk-aversion of a first rational agent in an inversely |α| X X
:= ln  p(g) p(x|g)α q(x|g)1−α .
proportional manner as R1 = 1/q, the parameter r on the α−1 g x
other hand is found to be instead directly proportional to
the risk-aversion of a second rational agent as R2 = r. The orders α ∈ {1, 0, ∞, −∞} are defined by their respec-
Moreover, we show that the Ilić-Djordjević conditional tive continuous extensions.
entropy satisfies a type of generalised chain rule which,
as a particular case, recovers that of the Arimoto-Rényi Definition 8. (Additional Rényi conditional entropies
conditional entropy. [13]) Rényi conditional entropies of order α ∈ R of a
joint PMF pXG are denoted as Hαj (X|G), with j ∈ {1, 4},
Finally, we address the implication of the results on following the notation by Fehr and Berens [13]. Ari-
wealth ratios on the quantum resource theories of mea- moto’s conditional entropy is denoted as HαA (X|G). The
surement informativeness and non-constant channels. In orders α ∈ (−∞, 0) ∪ (0, 1) ∪ (1, ∞) are defined as:
the context of the QRT of measurement informativeness, " #
and quantum state betting games, the Ilić-Djordjević sgn(α) X X
4 α
(ID) mutual information measure quantifies the r-agent Hα (X|G) := ln p(g) p(x|g) , (A4)
1−α g x
utility on the advantage achieved by a 1/q-agent having
access to the resource of informativeness, against all pos-
X
Hα1 (X|G) := p(g) HαR (X|G = g), (A5)
sible uninformative measurements. In a similar manner, g
for the operational tasks of noisy quantum state betting,  ! α1 
the ID mutual information measure quantifies an advan- |α| X X
tage, but now in the context of a QRT of non-constant HαA (X|G) := log  p(x, g)α  . (A6)
(1 − α) g x
channels.
 14

The orders α ∈ {0, 1, ∞, −∞} are defined by their respec- for x ≥ 0 and with the deformation parameter r ∈ R.
tive continuous extensions. We have the pseudo-additivity identity:
Remark 3. ([8, 32]) Relationship between CR- lnr (xy) = lnr (x) + lnr (y) + (1 − r) lnr (x) lnr (y). (B2)
divergences and the Rényi divergence. For any condi-
tional PMFs pG|X , qG|X , and any PMF pX we have: It is also convenient to have:
S
 
Dα (pG|X ||qG|X |pX ) = Dα (pG|X pX ||qG|X pX ), (A7) x
lnr = [lnr (x) − lnr (y)] y 1−r . (B3)
y
C
X
Dα (pG|X ||qG|X |pX ) = p(x)Dα (pG|X=x ||qG|X=x ), (A8)
x
BLP
In particular we have:
Dα (pG|X ||qG|X |pX )  
" # 1
=
α
log
X α−1
p(x)2 α Dα (p G|X=x ||qG|X=x )
. (A9) lnr = − lnr (y) y 1−r . (B4)
α−1 y
x
For the q-exponential we have:
Remark 4. (Relationship between CR-divergences and
conditional entropies) exq eyq = eqx+y+(1−q)xy , (B5)
DαS (pX|G ||uX |pG ) Hα4 (X|G),
1
= sgn(α) ln K − (A10) exq := (1 + (1 − q)x) 1−q
(B6)
DαC (pX|G ||uX |pG ) = sgn(α) ln K − Hα1 (X|G), (A11)
These functions are important because many of the quan-
DαBLP (pX|G ||uX |pG ) = sgn(α) ln K − HαA (X|G). (A12) tities considered in this work can be written in terms of
r-deformed logarithms. For instance, the isoelastic util-
These identities can be seen as the Rényi conditional ity function can be written as:
counterpart of the Rényi unconditional relationship:
uR (w) = sgn(w) lnR (|w|). (B7)
Dα (pX ||uX ) = sgn(α) ln K − HαR (X). (A13)
It is also going to be useful to introduce the function:
We address these two remarks in Fig. 2.
(
x, r = 1,
Dα(·||·) ηr (x) := e(1−r)x −1 (B8)
1−r , r 6= 1.

This function in particular would update the standard

natural logarithm into the r-deformed natural logarithm:
DαS (pG|X ||qG|pX ) DαC(pG|X ||qG|pX ) DαBLP(pG|X ||qG|pX )
ηr (ln x) = lnr (x). (B9)
qG = uG qG = uG qG = uG
This function also allows for the manipulation of the
pseudo-addition and pseudo-substraction introduced in
∼ Hα4 (X|G) ∼ Hα1 (X|G) ∼ HαA(X|G) the main text as:
FIG. 2. Hierarchical relationship between the Rényi diver-
V
gence Dα (·||·), conditional Rényi divergences Dα (·|| · |·), and x ⊕r y := x + y + (1 − r)xy, (B10)
j
conditional Rényi entropies Hα (X|G). V ∈ {S, C, BLP} is a ηr ηr−1 (x) ηr−1 (y)


= + . (B11)
label specifying the measures of Sibson [15], Csiszár [16], and
Bleuler-Lapidoth-Pfister [8]. Similarly, the inverse of this operation, the pseudo-
substraction, can be written as:

x r y = ηr ηr−1 (x) − ηr−1 (y) .

(B12)
Appendix B: Some mathematical preliminaries
Having introduced these functions, we can check that the
Sharma-Mittal entropic quantities addressed in the main
In this appendix we address some preliminary mathe- text adopt the following convenient functional forms:
matical tools to prove the results in the main text. We
SM
(X) = sgn(q) ηr sgn(q) HqR (X) ,


address r-deformed logarithms, rewrite some of the quan- Hq,r (B13)
tities of interest in terms of r-deformed logarithms, and ID A


Hq,r (X|G) = sgn(q) ηr sgn(q) Hq (X|G) . (B14)
address the operations of pseudo addition and pseudo
substraction. Consider the r-deformed natural logarithm It is also useful to write:
(r-logarithm) as: h i
−1
( HqR (X) = sgn(q) ln pq (X) , (B15)
ln x, r = 1,
lnr (x) := x1−r −1 (B1)
h i
−1
1−r , r 6= 1,
HqA (X|G) = sgn(q) ln pq (X|G) , (B16)
 15

with the quantities: The first line is the definition of the Rényi divergence. In
the second line we replace the PMFs pX and qX . In the
1
third line we reorganise the expression so to use Hölder’s
! (q−1)
X
pq (X) := p(x)q , (B17) inequality. In the fourth line we use Hölder’s inequality
x with p = 1/α and q = 1/(1 − α). In the fifth line we
q
 ! q1  (q−1) reorganise so to use Jensen’s inequality. In the sixth line
X X we use Jensen’s inequality with the function f (·) = (·)α
pq (X|G) :=  p(x, g)q  . (B18)
which is convex on R≥0 . In the seventh line we iden-
g x
tify the n1-CR-divergence of the conditional PMFs pX|Y ,
Finally, we will also need some useful inequalities. qX|Y , and PMF pY . The factor sgn(α)(α − 1) is negative
Jensen’s inequality: for α ∈ (0, 1), so this reverses the inequality and get:

f (EpX (X)) ≤ EpX (f (X)), f convex. (B19) Dα (pX ||qX ) ≤ Dαn1 (pX|Y ||qX|Y |pY ). (C10)

Hölders inequality: This completes the proof.

1 1
E(|XY |) ≤ E(|X|p ) p E(|Y |q ) q , (B20)
Appendix D: Proof of Lemma 2
1 1
for p, q ∈ [1, ∞] , p + q = 1. Minkowski inequality:
Proof. We start with the first new conditional Rényi di-
!p ! 1 !1
X X p X X p vergence. Considering α > 1 we have:
a(x, y) ≤ a(x, y)p , p > 1, (B21)
x y y x sgn(α)(α − 1)Dαn1 (pX|Y ||qX|Y |pY ) (D1)
!p ! 1 !1 !α
X X p X X p
1−α
a(x, y)p , 1
X X
a(x, y) ≥ p < 1, (B22) = ln p(y) p(x|y) q(x|y) α , (D2)
x y y x
x y
 !α ! α1 
for non-negative values {a(x, y)}. 1−α
2
X X
= α ln  p(y) p(x) q(x|y) α  , (D3)
x y
Appendix C: Proof of Lemma 1 ! α1
(M) X X 1−α
α
≤ α ln p(y) p(x|y) q(x|y) α , (D4)
Proof. Considering the PMFs: y x
X X ! α1
p(x) := p(x|y)p(y), q(x) := q(x|y)p(y). (C1) 4
X X
= α ln p(y) p(x|y)α q(x|y)1−α , (D5)
y y
y x

Consider now the Rényi divergence: 5

= sgn(α)(α − 1)DαBLP (pX|Y ||qX|Y |pY ). (D6)
sgn(α)(α−1)Dα (pX ||qX )
e (C2)
In the first line we use the definition of the n1-CR-
1
X
= p(x)α q(x)1−α , (C3) divergence. In the second line we multiply by 1 = α/α,
x leaving 1/α inside the natural logarithm. In the third
!α !1−α
line we use Minkowski inequality with p = α (we are
2
X X X
= p(y)p(x|y) p(y)q(x|y) , (C4) assuming here α > 1), and the coefficients a(x, y) =
x y y 1−α

!α !1−α p(y) p(x|y) q(x|y) α , and we also take into account that
3
X X 1
α α
X 1 log(·) is increasing. In the fourth line we reorganise. In
= p(y)(p(x|y) ) p(y)(q(x|y)1−α ) 1−α , the fifth line we identify the BLP-CR-divergence. This
x y y
then proves the case for α > 1. We now analyse the
(C5)
additional cases.
(H)
There are three factors to consider when analysing the
XX
≥ p(y) p(x|y)α q(x|y)1−α
, (C6)
x y direction of the inequality. First, whether α > 1 or α < 1
5
XX  1−α α
 so to use Minkowski inequality. Second, whether α > 0
= p(y) p(x|y)q(x|y) α , (C7)
or α < 0 because this factor multiplies the whole expres-
x y
!α sion. Third, the sign of the factor sgn(α)(α − 1). Con-
(J)
≥
X X
p(y) p(x|y)q(x|y)
1−α
α , (C8)
sidering now the case α < 1 we have that the Minkowski
x y
inequality gets reversed, and depending on sgn(α) we ei-
7 n1
(pX|Y ||qX|Y |pY )
ther keep the inequality or further reverse it again, and
= esgn(α)(α−1)Dα . (C9) then a similar analysis with the factor sgn(α)(α − 1). In
 16

summary, a careful inspection of the two remaining cases (α < 0, and 0 < α < 1) yield the inequality:

Dαn1 ≤ DαBLP , α ∈ (−∞, 0) ∪ (0, 1) ∪ (1, ∞). (D7)

Appendix E: Proof of Result 1

Proof. From the definition of PMF hX we have:

p(xy)|o(x|y)|1−R
P
R y
h(x) :=  . (E1)
P P  R1 R
x0 y p(x0 y) |o(x0 |y)|1−R

and so:
 ! R1 R
X X X
p(xy) |o(x|y)|1−R =  p(x0 y) |o(x0 |y)|1−R  h(x)R . (E2)
y x0 y

Then, the natural logarithm of the CE can be written as:

" #
 ICE  1 1 X
ln wR (bX , |oX|Y |, pXY ) = ln p(x, y) |o(x|y)|1−R b(x)1−R , (E3)
1−R xy
" ! #
2 1 X X
= ln p(x, y) |o(x|y)|1−R b(x)1−R , (E4)
1−R x y
 
 ! R1 R
3 1 X X X
= ln  p(x0 y) |o(x0 |y)|1−R  h(x)R b(x)1−R 
, (E5)
 
1−R x 0 y
x
 ! R1  " #
4 R X X 1 X
= ln  p(x0 y) |o(x0 |y)|1−R + ln h(x)R b(x)1−R , (E6)
1−R 0 y
1 − R x
x
 ! R1 
5 R X X
 − sgn(R)DR (h(R,o,p) ||bX ),
= ln  p(x0 y) r(x0 |y)−(1−R) X (E7)
1−R 0 y
x
6 n1 (o) (R,o,p)
= sgn(R)D1/R (pX|Y ||rX|Y |pY ) − sgn(R)DR (hX ||bX ). (E8)

In the first line we use the definition of the ICE. In the second line we group terms and sum over y. In the third line
we replace the previous equality. In the fourth line we reorganise. In the fifth line we identify the Rényi divergence
of order R. In the sixth and final line we replace the PMF rX|Y and identify the n1-CR divergence. We can then
multiply both sides of the equality by sgn(o) and this finishes the proof.

Appendix F: Proof of Result 2

Proof. From the first PMF we have:

p(xy|g)o(x|y)1−R
P
R y
h(x|g) :=  . (F1)
P P  R1 R
x0 y p(x0 y|g) o(x0 |y)1−R
 17

and so:
 ! R1 R
X X X
p(xy|g) o(x|y)1−R = p(x0 y|g) o(x0 |y)1−R  h(x|g)R . (F2)
y x0 y

Multiplying by p(g) we get:

!  ! R1 R
X X X
p(g) p(xy|g) o(x|y)1−R = p(g)  p(x0 y|g) o(x0 |y)1−R  h(x|g)R . (F3)
y x0 y

From the second PMF we get:


P P  R1 R
1−R
p(g) x y p(xy|g) o(x|y)
h(g) := . (F4)

P P  R1 R
p(g 0 ) p(xy|g 0 ) o(x|y)1−R
P
g0 x y

and so:
 
 ! R1 R  ! R1 R
X X X X X
h(g)  p(g 0 )  p(xy|g 0 ) o(x|y)1−R   = p(g)  p(xy|g) o(x|y)1−R  . (F5)
 
g0 x y x y

The natural logarithm of the CE can be written as:

h i
ICE
ln wR (bX|G , |oX|Y |, pXGY )
" #
1 1 X 1−R 1−R
= ln p(x, g, y) |o(x|y)| b(x|g) , (F6)
1−R xgy
" ! #
2 1 X X 1−R 1−R
= ln p(g) p(x, y|g) |o(x|y)| b(x|g) , (F7)
1−R xg y
   
 ! 1 R
R
3 1 X X X X
= ln  h(g)  p(g 0 )  p(xy|g 0 ) |o(x|y)|1−R R
 h(x|g) b(x|g)
1−R 
, (F8)
   
1−R xg 0 x y
g
 
 ! 1 R " #
R
4 1 X X X 1 X
= ln  p(g 0 )  p(xy|g 0 ) |o(x|y)|1−R + ln R R
h(x|g) h(g) b(x|g)1−R
h(g) 1−R
, (F9)
  
1−R 1−R
g0 x y xg
 
 ! 1 R
R
5 1 X X X
p(g 0 )  p(xy|g 0 ) |o(x|y)|1−R
(R,o,p) (R,o,p) (R,o,p)
= ln   − sgn(R)DR (hX|G hG ||bX|G hG ), (F10)
  
1−R
g0 x y
 
 ! 1 R
R
6 1 X X X
p(g 0 )  p(xy|g 0 ) r(x|y)−(1−R)
(R,o,p) (R,o,p) (R,o,p)
= ln   − sgn(R)DR (hX|G hG ||bX|G hG ), (F11)
  
1−R
g0 x y

7 n2 (o) (R,o,p) (R,o,p) (R,o,p)

= sgn(R)D1/R (pX|GY ||rX|Y |pG , pY |G ) − sgn(R)DR (hX|G hG ||bX|G hG ). (F12)

In the first line we use the definition of the ICE. In the second line we group terms and sum over y. In the third line
we replace the previous equality. In the fourth line we reorganise. In the fifth line we identify the Rényi divergence
of order R. In the sixth and final line we replace the PMF rX|Y and identify the n1-CR divergence. We can then
multiply both sides of the equality by sgn(o) and this finishes the proof.
 18

Appendix G: Details of Corollary 3

Proof. We have the following chain of equalities:

 
ICE
maxbX wR (bX , oX|Y , pXY )
sgn(R) ln  ICE

max wR (bX , oX , pX )
bX
 
ICE
1 sgn(R) maxbX sgn(R) wR (bX , |oX|Y |, pXY )
= sgn(R) ln  ICE
, (G1)
sgn(R) max sgn(R) wR (bX , |oX |, pX )
bX
   
2 ICE ICE
= sgn(R) ln sgn(R) max sgn(R)wR (bX , |oX|Y |, pXY ) − sgn(R) ln sgn(R) max sgn(R)wR (bX , |oX |, pX ) , (G2)
bX bX
3  ICE   ICE 
= max sgn(R) ln wR (bX , |oX|Y |, pXY ) − max sgn(R) ln wR (bX , |oX |, pX ) , (G3)
bX bX
4
= max URICE (bX , oX|Y , pXY ) − max URICE (bX , oX , pX ), (G4)
bX bX
5 n1 (o) (o)
= D1/R (pX|Y ||rX|Y |pY ) − D1/R (pX ||rX ). (G5)

In the first line we multiply and divide by sgn(R) inside the natural logarithm, and take out sgn(o) = sgn(R) from
the ICE, leaving the ICE with positive odds. In the second line we split the natural logarithm. In the third line we
take out the maxbX , which jumps through two sgn(R), and therefore keeps being a maximisation. In the third line we
remember that sgn(o) = sgn(R) and identify the functions URICE . In the fourth line we use Corollary 1 and Corollaries
6 and 7 from [9]. This finishes the statement.

Appendix H: Details of Corollary 4

Proof. We have the following chain of equalities:

 
ICE
maxbX|G wR (bX|G , oX , pXG )
sgn(R) ln  ICE

max wR (bX , oX|G , pXG )
bX
 
ICE
1 sgn(R) maxbX sgn(R) wR (bX|G , |oX |, pXG )
= sgn(R) ln  ICE
, (H1)
sgn(R) max sgn(R) wR (bX , |oX|G |, pXG )
bX
   
2 ICE ICE
= sgn(R) ln sgn(R) max sgn(R)wR (bX|G , |oX |, pXG ) − sgn(R) ln sgn(R) max sgn(R)wR (bX , |oX|G |, pXG ) ,
bX|G bX|G
(H2)
3 ICE
   ICE 
= max sgn(R) ln wR (bX|G , |oX |, pXG ) − max sgn(R) ln wR (bX , |oX|G |, pXG ) , (H3)
bX|G bX
4
= max URICE (bX|G , oX , pXG ) − max URICE (bX , oX|G , pXG ), (H4)
bX|G bX
5 BLP (o) n1 (o)
= D1/R (pX|G ||rX|G |pG ) − D1/R (pX|G ||rX|G |pG ). (H5)

In the first line we multiply and divide by sgn(R) inside the natural logarithm, and take out sgn(o) = sgn(R) from
the ICE, leaving the ICE with positive odds. In the second line we split the natural logarithm. In the third line we
take out the maxbX , which jumps through two sgn(R), and therefore keeps being a maximisation. In the third line we
remember that sgn(o) = sgn(R) and identify the functions URICE . In the fourth line we use Corollary 1 and Corollaries
6 and 7 from [9]. This finishes the statement.
 19

Appendix I: Proof of Result 3 (PT1)

Proof. Consider the natural logarithm of the certainty equivalent within prospect theory:
" #
h
CE−PT
i
1 1 X
S 1−R 1−R
ln VR,S (bX , |oX |, pX ) = ln p(x) |o(x)| b(x) , (I1)
1−R x
" ! #
2 1 X X p(x)S
0 S 1−R 1−R
= ln p(x ) P 0 S
|o(x)| b(x) , (I2)
1−R x0 p(x )
x0 xg
" # " #
3 1 X
0 S 1 X
1−R 1−R
= ln p(x ) + ln q(x) |o(x)| b(x) , (I3)
1−R 1−R
x0 x
4 1−S h 
(S,p)
i
= sgn(S) HS (pX ) + ln VRCE−EU bX , |oX |, qX . (I4)
1−R
The first equality is the certainty equivalent within prospect theory. In the second inequality we multiply and divide
(S,p)
by the coefficient x0 p(x0 )S . In the third equality we reorganise the expression and identify the escort PMF qX .
P
In the fourth equality we identify the Rényi entropy of order S and the certainty equivalent within expected utility
theory. The final step is to input the expression for the CE-EU in terms of the Rényi divergence, and this finishes
the proof.
Appendix J: Proof of Result 4 (PT2)

Proof. Consider the natural logarithm of the certainty equivalent within prospect theory:
" #
h
CE−PT
i
1 1 X
S 1−R 1−R
ln VR,S (bX|G , |oX |, pXG ) = ln p(x, g) |o(x)| b(x|g) , (J1)
1−R xg
  
S
2 1 X X p(x, g)
= ln  p(x0 , g 0 )S  P 0 0 S
|o(x)|1−R b(x|g)1−R  , (J2)
1−R 0 0 xg x0 g 0 p(x , g )
xg
  " #
3 1 X 1 X
= ln  p(x0 , g 0 )S  + ln q(x, g) |o(x)|1−R b(x|g)1−R , (J3)
1−R 0 0
1−R xg
xg

4 1−S h 
(S,p)
i
= sgn(S) HS (pXG ) + ln VRCE−EU bX|G , |oX |, qXG . (J4)
1−R
The first equality is
Pthe certainty equivalent within prospect theory. In the second inequality we multiply and divide
by the coefficient x0 g0 p(x0 , g 0 )S . In the third equality we reorganise the expression and identify the escort PMF
(S)
qXG . In the fourth equality we identify the Rényi entropy of order S and the certainty equivalent within expected
utility theory. The final step is input the known expression for this latter CE in terms of the Rényi divergence and
the BLP conditional Rényi divergence, and this finishes the proof.

Appendix K: Proof of Result 5 tropy of order q ∈ R for a joint PMF pXG reads:

We first need the following lemmas.

ICE sgn(q)c
sgn(q) C pq (X|G) = max w1/q (bX|G , oX , pXG ), (K2)
Lemma 3. ([9]) Consider a PMF pX , the Rényi proba- bX|G
bility of order q ∈ R can be written as:

ICE sgn(q)c
sgn(q) C pq (X) = max w1/q (bX , oX , pX ), (K1)
bX with the maximisation over all possible betting strategies
bX|G , and the odds osgn(q)c (x) := sgn(q) C, C > 0, ∀x.
with the maximisation over all possible betting strategies
bX , and the odds osgn(q)c (x) := sgn(q) C, C > 0, ∀x.

Lemma 4. ([9]) The Arimoto-Rényi conditional en- Proof. (of Result 5) Consider the Ilić-Djordjević mutual
 20

information, we have the following chain of equalities: (B12) and we get:

−1 4
h i  h i 
−1
ID
Iq,r (X; G) lnr pq (X|G) ≥ ηr ln pq (XG) − ln [K] ,
SM
= Hq,r (X) r
ID
Hq,r (X|G), (K3) (L4)
5
    h i
= sgn(q)[ηr sgn(q)HqR (X) r ηr sgn(q)HqA (X|G) ], −1
≥ ηr ln pq (XG) K −1 , (L5)
(K4) 6 h i
−1
= sgn(q)[ηr ln p−1

q (X)


r ηr ln p−1
 

q (X|G) ]. (K5) ≥ lnr pq (XG) K −1 . (L6)

In the fourth line we use the property of pseudo-

The first line is the definition of the Ilić-Djordjević mu- substraction. We now use that the r-deformed logarithm
tual information. In the second line we use (B13) and is increasing and get:
(B14). In the third
 line we
use (B15) and (B16).  −1 We take
now a = ηr ln p−1 −1 −1


q (X) and b = η r ln pq (X|G) pq (X|G) ≥ pq (XG) K −1 , (L7)
and apply the rule for a r b (B12) and get: pq (XG) K ≥ pq (X|G) . (L8)
ID
Iq,r (X; G) This resulting inequality has been proven for q ≥ 0
1
[13]. If we consider the remaining case q < 0, the
= sgn(q)[ηr ln p−1
   −1 

q (X) − ln pq (X|G) ], (K6) same arguments lead instead to the inequality pq (X|G) ≥
pq (XG)K. We can prove this latter inequality using sim-
  
2 pq (X|G)
= sgn(q) ηr ln , (K7) ilar arguments as for the positive case, and we do it below
pq (X)
  for completeness.
3 pq (X|G)
= sgn(q) lnr , (K8)
pq (X) pq (X|G)
q
 
4 sgn(q) C pq (X|G)  ! q1  (q−1)
= sgn(q) lnr , (K9) 1
sgn(q) C pq (X)
X X
= p(x, g)q  , (L9)
sgn(q)
 ICE

max w1/q (bX|G , oX , pXG ) g x
5  bX|G q
= sgn(q) ur  . (K10)
  ! q1  (q−1)
ICE sgn(q) X 1
max w1/q (bX , oX , pX ) 2
X
bX = K p(x, g)q  , (L10)
g
K x
q
The first line follows from the chain of identities in the  ! q1  (q−1)
3 X 1 X
previous paragraph. In the second line we reorganise ≥ K p(x, g)q  , (L11)
using properties of ln. In the third line we use that g
K x
ηr (ln(x)) = lnr (x). In the fourth line we multiply and q
divide by sgn(q) C. In the fifth line we use (K1) and  1
 q−1
 ! q1  (q−1)
4 q 1 X
(K2). This completes the proof. =K q−1  p(x, g)q , (L12)
K g,x
5
= K pq (XG). (L13)
Appendix L: Proof of Result 6 In the first line we invoke the definition of the Arimoto-
Rényi quantity. In the second line we introduce the factor
Proof. The inequality we want to prove is equivalent to 1/K so to use Jensen’s inequality. In the third line we use
the following inequalities. Consider q ≥ 0: Jensen’s inequality, taking into account that the function
1
q
x q is convex for q < 0, and that q−1 > 0 for q < 0, so
ID
1 h
SM
i it does not change the order of the inequality after using
sgn(q)Hq,r (X|G) ≥ sgn(q) Hq,r (XG) r lnr (K) , (L1) Jensen’s inequality. In the fourth line we take out the
ID SM
2 constants. In the fifth line we simplify the expression
Hq,r (X|G) ≥ Hq,r (XG) r lnr (K) , (L2) and identify the Rényi quantity (B17). This completes
3 the proof.
lnr pq (X|G)−1 ≥ ηr ln pq (XG)−1
   

r ηr (ln [K]) ,
(L3)

The first line is the inequality we want to prove. In the

second line we assume q ≥ 0 and cancel sgn(q). In the
third line we use (B14). We now apply the rule for a r b

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