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Proceedings of 37th Conference on Foundations of Computer Science (1996)
Burlington, VT
Oct. 14, 1996 to Oct. 16, 1996
ISBN: 0-8186-7594-2
pp: 534
T.M. Cover , 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.
INDEX TERMS
data compression; portfolio selection; universal data compression; universal portfolio selection; online portfolio algorithms; information theory; fundamental minimax redundancy game; minimax regret game; wealth growth rate; investment; entropy rate
CITATION

T. Cover, "Universal data compression and portfolio selection," Proceedings of 37th Conference on Foundations of Computer Science(FOCS), Burlington, VT, 1996, pp. 534.
doi:10.1109/SFCS.1996.548512
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