Portfolio selection model with information cost

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

Abstrakty

EN

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.

Słowa kluczowe

EN

Fischer information; information cost; portfolio

PL

model stochastyczny; programowanie nieliniowe

• Wydawca: Systems Research Institute, Polish Academy of Sciences
• Czasopismo: Control and Cybernetics
• Rocznik: 1999
• Tom: Vol. 28, no 1
• Strony: 89--99
• Opis fizyczny: Bibliogr. 5 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