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My goal for this project was to familiarize myself with the intricacies of Portfolio Management and in particular how Information Theory could be utilized in this regard.
This required extensive reading, both in general investment theory and information theory.
I hope that most readers will gain a greater insight into Portfolio Managment by reading this paper.
All that remains now is to make a fortune in the stock market using this new found knowledge. The only drawback is the the universal portfolio algorithm does not take into account transaction fees, which are the bane of many an investor.
Magnus Bjornsson
1998-05-12