Talk by Adam Kalai, CMU - Monday, 15 January

[Margery Ishmael]

Monday, 15 January at 2:30 pm in Ryerson (annex) 276

             "Random Walks for Fun and Profit"

                  by Adam Kalai

              Carnegie Mellon University


Abstract: In this talk, we present a surprising application of random walks to
on-line portfolio selection. A constant rebalanced portfolio is an
investment strategy which keeps the same distribution of wealth among a set
of stocks each day. Thomas Cover introduced Universal Portfolios and showed
that they perform asymptotically as well as the best stock and best
constant rebalanced portfolio, where the best is chosen in hindsight.
However, all previous implementations had running times exponential in the
number of stocks, restricting the number of stocks used in experiments to
two or three. We describe an implementation that is polynomial in the
number of stocks, based on random walks.

The talk will be followed by refreshments in Ryerson 255
If you would like to meet with the speaker, please send e-mail to 
marge at cs.uchicago.edu