Portfolio Optimization and Information Theory

(This project is taken by Mohamed Amine Zahar for Spring Semester 2008-2009)

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.

The student should be at ease with both probability and Matlab programming.

[1] T. Cover, J. Thomas, “Elements of Information Theory”, Wiley, Second Edition, Chapter 16.

Etienne Perron (LICOS) * Email: etienne.perron#epfl.ch * Office: INR 140 * Tel: 36457

Dr. Olivier Lévêque (LTHI) * Email: olivier.leveque#epfl.ch * Office: INR 132 * Tel: 38112

back to completed projects

Last modified:: %2009/%09/%11 %15:%Sep