Reminder: Talk by Adam Kalai, CMU - today at 2:30
Margery Ishmael
marge at cs.uchicago.edu
Mon Jan 15 09:22:16 CST 2001
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
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