Universal data compression and portfolio selection

Authors:
T. M. Cover
Affiliations:
-
Venue:
FOCS '96 Proceedings of the 37th Annual Symposium on Foundations of Computer Science
Year:
1996

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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.