Numerical simulations of a portfolio selection model with information cost

• Autorzy: Banek T. , Kowalik P. , Kozłowski E.
• Języki publikacji: EN

Abstrakty

EN

Results of numerical simulations of a portfolio selection model with information cost are presented. Simulations are based on the real data from the Warsaw Stock Exchange. The results show that buying the information according to the presented model may lead to an essential reduction of investment risk depending on the required level of return. If the return level is not too high, reduction of risk really takes place.

Słowa kluczowe

EN

covariance matrices; investment; numerical simulations; portfolio; purchase of information; Warsaw Stock Exchange

PL

optymalizacja; programowanie stochastyczne; symulacja numeryczna

• Wydawca: Systems Research Institute, Polish Academy of Sciences
• Czasopismo: Control and Cybernetics
• Rocznik: 2000
• Tom: Vol. 29, no 2
• Strony: 617--622
• Opis fizyczny: Bibliogr. 9 poz.,

Twórcy

autor

Banek T.

autor

Kowalik P.

autor

Kozłowski E.

• Department of Operations Research, Faculty of Management, Technical University of Lublin, ul. Nadbystrzycka 36B, 20-618 Lublin, Poland