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Warianty tytułu
Języki publikacji
Abstrakty
A portfolio planning model which takes into account a cost of purchase of market information is considered. In the presented model, the objective of the investor is to maximize probability of attaining or exceeding the required return z. It is shown that the presented stochastic model reduces to a nonlinear programming problem that can be solved efficiently.
Czasopismo
Rocznik
Tom
Strony
89--99
Opis fizyczny
Bibliogr. 5 poz.,
Twórcy
autor
autor
autor
- Department of Operations Research, Faculty of Management, Technical University of Lublin, ul. Nadbystrzycka 36B, 20-618 Lublin, Poland
Bibliografia
Typ dokumentu
Bibliografia
Identyfikator YADDA
bwmeta1.element.baztech-article-BAT2-0001-1349