==== Portfolio Optimization and Information Theory ====

(This project is taken by Mohamed Amine Zahar for Spring Semester 2008-2009)\\
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**Description:**\\ 
The idea of this project is to study the role of side information
on the growth rate of a portfolio. Some theoretical upper bounds already exist (see [1]). The specific aim of the project is to develop and implement practical strategies based on side information and study how close to optimal such strategies can be.\\
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**Prerequisites:**\\
The student should be at ease with both probability and Matlab programming.\\
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**References:**\\
[1] T. Cover, J. Thomas, "Elements of Information Theory", Wiley, Second Edition, Chapter 16.\\
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**Contact:**\\
Etienne Perron (LICOS) * Email: etienne.perron#epfl.ch * Office: INR 140 * Tel:
36457\\
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**Supervisor:**\\
Dr. Olivier Lévêque (LTHI) * Email: olivier.leveque#epfl.ch * Office: INR 132 * Tel: 38112\\ 
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