Title :
Universal data compression and portfolio selection
Author :
Cover, Thomas M.
Author_Institution :
Inf. Syst. Lab., Stanford Univ., CA, USA
Abstract :
The authors consider universal data compression, universal portfolio selection (online portfolio algorithms) and the relationship of both to information theory. Apparently the fundamental minimax redundancy game in data compression and the minimax regret game for the growth rate of wealth in investment have the same answer. There is also a duality between entropy rate and the growth rate of wealth
Keywords :
data compression; entropy; financial data processing; game theory; information theory; investment; redundancy; entropy rate; fundamental minimax redundancy game; information theory; investment; minimax regret game; online portfolio algorithms; portfolio selection; universal data compression; universal portfolio selection; wealth growth rate; Data compression; Entropy; Game theory; Information systems; Information theory; Investments; Minimax techniques; Portfolios; Random variables; Stock markets;
Conference_Titel :
Foundations of Computer Science, 1996. Proceedings., 37th Annual Symposium on
Conference_Location :
Burlington, VT
Print_ISBN :
0-8186-7594-2
DOI :
10.1109/SFCS.1996.548512
