Information pricing for portfolio optimization

• Autorzy: Banek T. , Kulikowski R.
• Języki publikacji: EN

Abstrakty

EN

We consider the following problem: is there a rational or fair price for the reports made by analysts, experts, investor advisers concerning the rate of return (RR) of investments? We define the notion of the value of information included in the family of probability distributions of the RR. Next, we illustrate this notion for a linear-quadratic utility function.

Słowa kluczowe

EN

value of information; martingale; portfolio optimization

PL

wartość informacji; martyngał; optymalizacja portfela inwestycyjnego

• Wydawca: Systems Research Institute, Polish Academy of Sciences
• Czasopismo: Control and Cybernetics
• Rocznik: 2003
• Tom: Vol. 32, no 4
• Strony: 867--882
• Opis fizyczny: Bibliogr. 9 poz.

Twórcy

autor

Banek T.

• Systems Research Institute PAN Newelska 6, 01-447 Warsaw, Poland
• Department of Operations Research, Faculty of Management, Technical University of Lublin, Nadbystrzycka 38, 20-618 Lublin, Poland

autor

Kulikowski R.

• Systems Research Institute PAN Newelska 6, 01-447 Warsaw, Poland

Bibliografia

• Arrow, K. (1970) Essays in the Theory of Risk Bearing. North-Holland, London.
• Banek, T. (2000) Risk Calculus. CBS WSZiA, Seria Monografie Nr 2, Lublin (in Polish).
• Banek, T. (2002) Value of information. Proc. Conf. on Modelling Preferences vs. Risk, Ustro ́n (in Polish).
• Banek, T. (2001) On the value of information. Talk at R. Kulikowski’s seminar IBS PAN, Warsaw, November 2001.
• Davis, M.H.A., Dempster, M.A.H. and Elliott, R.J. (1991) On the value of information in controlled diffusion processes. Liber Amicorum for M. Zakai, Academic Press, 125–138.
• Davis, M.H.A. and Karatzas, I. (1994) A deterministic approach to optimal stopping Probability. In: F.P. Kelly, ed., Statistics and Optimisation. John Wiley & Sons, 1994, 455 – 466.
• Karatzas, I. and Shreve, S.E. (1998) Methods of Mathematical Finance. Springer-Verlag.
• Karatzas, I. and Shreve, S.E. (1991) Brownian Motion and Stochastic Calculus. Springer-Verlag.
• Liptser, R.S. and Shiryaev, A.N. (1977) Statistics of Random Processes. Springer-Verlag.