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Last update: RNDr. Jitka Zichová, Dr. (25.04.2018)
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Last update: RNDr. Jitka Zichová, Dr. (23.04.2018)
To present basics of information theory with applicatioms to finance and statistics. |
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Last update: RNDr. Jitka Zichová, Dr. (29.10.2019)
Oral exam. |
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Last update: RNDr. Jitka Zichová, Dr. (23.04.2018)
T.M. Cover, J.A.Thomas: Elements of Information Theory, second edition, Wiley and Sons, Inc. (2006) W.F. Sharpe: Investments, Prentice-Hall (1985) |
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Last update: RNDr. Jitka Zichová, Dr. (23.04.2018)
Lecture. |
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Last update: RNDr. Jitka Zichová, Dr. (29.10.2019)
According to the sylabus and the content of the lecture. |
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Last update: RNDr. Jitka Zichová, Dr. (23.04.2018)
1. Entropy, mutual information, Kullback-Leibler divergence for random variables 2. Entropy rate for discrete random process with discrete time 3. Kelly's gambling, Gambling and side information, Dependent horse races 4. Hypothesis testing, Chernoff-Stein Lemma, Chernoff information 5. Stock Market, Kuhn-Tucker charakterization of the log-optimal portfolio 6. Asymptotic optimality for the log-optimal portfolio 7. Universal portfolio, finite horizon and horizon-free case
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Last update: RNDr. Jitka Zichová, Dr. (05.06.2019)
Basics of probability theory, mathematical analysis and linear algebra. |