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Universal data compression and portfolio selection

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1 Author(s)
Cover, T.M. ; Inf. Syst. Lab., Stanford Univ., CA, USA

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

Published in:
Foundations of Computer Science, 1996. Proceedings., 37th Annual Symposium on

Date of Conference: 14-16 Oct 1996

Page(s):
534 - 538
Meeting Date :
14 Oct 1996-16 Oct 1996
ISSN :
0272-5428
Print ISBN:
0-8186-7594-2
INSPEC Accession Number:
5444298
Conference Location :
Burlington, VT
Digital Object Identifier :
10.1109/SFCS.1996.548512
Product Type:
Conference Publications

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