Boulogne, M. Pierre (2023) Construction de portefeuilles universels PRE - Research Project, ENSTA.



The information theory introduced by C. Shannon has led to significant advances in data compression, T. Cover has introduced portfolios that approximate the growth rate of the best constantly rebalanced portfolio, justifying the interest in approximating the latter using the concepts introduced by C. Shannon. In this paper we will present the links between information theory and financial markets, in particular sports betting, we will present some algorithms for point-by-point prediction in tennis and finally we will present T. Cover’s universal portfolios, another algorithm approaching them and an algorithm following a different logic and providing very good results.

Item Type:Thesis (PRE - Research Project)
Uncontrolled Keywords:Information theory, gambling, universal portfolio, constantly rebalanced portfolio
Subjects:Mathematics and Applications
ID Code:9679
Deposited By:Pierre BOULOGNE
Deposited On:30 août 2023 09:08
Dernière modification:01 sept. 2023 09:20

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