Thomas M. Cover
American information theorist (1938–2012), professor jointly in the Departments of Electrical Engineering and Statistics at Stanford University — the joint appointment printed on cover-universal-portfolios itself. He spent most of his career on the relationship between information theory and statistics, and is best known outside this spoke as co-author of Elements of Information Theory.
He matters here as the spoke's first author who arrives from outside finance. The universal-portfolio is a compression/universal-coding argument pointed at a market: a uniform mixture over a strategy class, reweighted by realized performance, with a worst-case bound over arbitrary sequences. The paper's own citation trail says the same — Robbins's compound decision rules and Blackwell's approachability theory sit next to Markowitz and Sharpe, and Cover treats his result as "a departure from the above model-based investment theories."
Discovered while ingesting cover-universal-portfolios.
Connections
- author of cover-universal-portfolios (Mathematical Finance 1(1), 1991)
- affiliated with stanford-university (Statistics and Electrical Engineering)
- published in mathematical-finance-journal, first issue
Related
universal-portfolio · constant-rebalanced-portfolio · cover-universal-portfolios