Lecture Series on Bregman Divergences: Sufficiency in FinanceDate: 2016-02-18 Add to Google Calendar
Location: Holmes Hall 388
Speaker: Peter Harremoësk Associate Professor, Copenhagen Business College, Denmark
It has been noted that certain quantities that appear in portfolio theory are closely related to quantities in information theory. We can describe portfolio theory in terms of convex optimization and Bregman divergences. The sufficiency condition is only fullfilled if the "stock market" is essentially equivalent to gambling where one either get a reward or lose the money.
Lecture Series on Bregman Divergences
Bregman divergences are used to quantify how much one probability measure deviates from another probability measure. Bregman divergences was defined already in 1967 but for many years the importance of this class of divergences was not recognized. Recently it has found a number of applications in apparently separated research areas, and new results pinpoint how and why certain concepts and methods appear in both information theory, statistics, physics and finance.
Peter Harremoës is Associate Professor at Copenhagen Business College, Denmark since 2009. His main research interests are related to the use of information theory in statistics, probability theory and physics. In particular he has contributed to the use of information theoretic method for deriving inequalities and convergence theorems in probability. Other active research areas are Bayesian networks, lattice theory, and quantum information theory.
Peter Harremoës(M’00) received the B.Sc. degree in mathematics in 1984, the Exam. Art. degree in archaeology in 1985, and the M.Sc. degree in mathematics in 1988, all from the University of Copenhagen, Copenhagen, Denmark, and the Ph.D. degree in natural sciences in 1993 from Roskilde University, Denmark. From 1993 to 1998, he worked as a mountaineer. From 1998 to 2000, he held various teaching positions in mathematics. From 2001 to 2006, he was Postdoctoral Fellow with the University of Copenhagen, with a longer visit at Zentrum für Interdisziplinäre Forschung, Bielefeld, Germany, 2003. From 2006 to 2009, he was affiliated with the Centrum Wiskunde & Informatica, Amsterdam, The Netherlands, under the European Pascal Network of Excellence. Dr. Harremoës was Editor-in-Chief of the journal Entropy 2007-2011.