DocumentCode
2645401
Title
Universal data compression and portfolio selection
Author
Cover, Thomas M.
Author_Institution
Inf. Syst. Lab., Stanford Univ., CA, USA
fYear
1996
fDate
14-16 Oct 1996
Firstpage
534
Lastpage
538
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;
fLanguage
English
Publisher
ieee
Conference_Titel
Foundations of Computer Science, 1996. Proceedings., 37th Annual Symposium on
Conference_Location
Burlington, VT
ISSN
0272-5428
Print_ISBN
0-8186-7594-2
Type
conf
DOI
10.1109/SFCS.1996.548512
Filename
548512
Link To Document