On universal portfolios with continuous side information

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United States Simons Institute for the Theory of Computing
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Published on ● Video Link: https://www.youtube.com/watch?v=VkLZdlX4qOw


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Alankrita Bhatt (Simons Institute)
https://simons.berkeley.edu/talks/universal-portfolios-continuous-side-information
Meet the Fellows Welcome Event Fall 2022

In this talk, I will revisit the problem of universal portfolio selection first proposed by Cover in 1991. This is a basic problem in information theory with several operational interpretations and connections to, among others, data compression and universal prediction. I will talk about recent work on a new portfolio selection strategy that adapts to a continuous side-information sequence, with a universal wealth guarantee against a class of state-constant rebalanced portfolios with respect to an unknown state function that maps each side-information symbol to a finite set of states.



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Tags:
Simons Institute
theoretical computer science
UC Berkeley
Computer Science
Theory of Computation
Theory of Computing
Meet the Fellows Welcome Event Fall 2022
Alankrita Bhatt