Portfolio Optimization via Probability Estimation

In this project, the student will be asked to understand the well-developed techniques of probability estimation (e.g. Laplace and Good-Turing estimators described in [1]) and apply them to a portofolio optimization problem, of the type described in [2].

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

[1] A. Orlitsky, N.P. Santhanam, and J. Zhang, “Always Good Turing: asymptotically optimal probability estimation” Proceedings of the 44th Anual Symposium on Foundations of Computer Science, October 2003, available on : http://kodiak.ucsd.edu/alon/publications.php
[2] T. M. Cover, “Universal portfolios”, Mathematical Finance, Vol. 1, No. 1, 1991, pp. 1-29.

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

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