Value of Information 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; information; portfolio optimization

• Wydawca: Polska Akademia Nauk, Wydział IV Nauk Technicznych
• Czasopismo: Bulletin of the Polish Academy of Sciences. Technical Sciences
• Rocznik: 2003
• Tom: Vol. 51, nr 3
• Strony: 245--258
• Opis fizyczny: 1 aneks, bibliogr. 7 poz.

Twórcy

autor

Banek T.

• Technical University of Lublin, Faculty of Management, Department of Operations Research, Nadbystrzycka 38, 20-618 Lublin, Poland (Politechnika Lubelska, Wydział Zarządzania i Podstaw Techniki, Katedra Badań Operacyjnych)
• Systems Research Institute, Polish Academy of Sciences, Newelska 6, 01-447 Warsaw, Poland (Instytut Badań Systemowych PAN)

autor

Kulikowski R.

• Systems Research Institute, Polish Academy of Sciences, Newelska 6, 01-447 Warsaw, Poland (Instytut Badań Systemowych PAN)

Bibliografia

• [1] K. Arrow, Essays in the theory of risk bearing, North-Holland, London 1970.
• [2] T. Banek, Risk calculus (in Polish), CBS WSZiA, Seria Monografie, 2 (Lublin 2000).
• [3] T. Banek, Value of information (in Polish), Proc. Conf. on Modelling Preferences vs. Risk, Ustroń 2002.
• [4] T. Banek, On the value of information, speech at R. Kulikowski’s seminar, IBS PAN, Warsaw (November 2001).
• [5] I. Karatzas, S. E. Shreve, Brownian motion and stochastic calculus, Springer-Verlag, 1991.
• [6] M. H. A. Davis, M. A. H. Demptser, R. J. Elliott, On the value of information in controlled diffusion processes, Liber Amicorum for M. Zakai, Academic Press (1991) 125-138.
• [7] M. H. A. Davis, I. Karatzas, A deterministic approach to optimal stopping, Probability, Statistics and Optimisation, ed.: F. P. Kelly, John Wiley & Sons, (1994) 455-466.