Portfolio Optimization and Information Theory
(This project is taken by Mohamed Amine Zahar for Spring Semester 2008-2009)
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.
Prerequisites:
The student should be at ease with both probability and Matlab programming.
References:
[1] T. Cover, J. Thomas, “Elements of Information Theory”, Wiley, Second Edition, Chapter 16.
Contact:
Etienne Perron (LICOS) * Email: etienne.perron#epfl.ch * Office: INR 140 * Tel:
36457
Supervisor:
Dr. Olivier Lévêque (LTHI) * Email: olivier.leveque#epfl.ch * Office: INR 132 * Tel: 38112