Title:

Value of information for portfolio optimization

Subtitle:

Raport Badawczy = Research Report ; RB/70/2002

Creator:

Banek, Tadeusz (1945– ) ; Kulikowski, Roman (1928–2017)

Publisher:

Instytut Badań Systemowych. Polska Akademia Nauk ; Systems Research Institute. Polish Academy of Sciences

Place of publishing:

Warszawa

Date issued/created:

2002

Description:

14 pages ; 21 cm ; Bibliography p. 12-13

Subject and Keywords:

Information ; Value ; Wartość ; Optymalizacja rozmyta ; Informacja ; Optymalizacja portfelowa

Abstract:

The paper deals with 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? The notion of the value of information included in the family of probability distributions of the RR is defined. Then the notion for a linear-quadratic utility function is illustrated.

Relation:

Raport Badawczy = Research Report

Resource type:

Text

Detailed Resource Type:

Report

Source:

RB-2002-70

Language:

eng

Language of abstract:

eng

Rights:

Creative Commons Attribution BY 4.0 license

Terms of use:

Copyright-protected material. [CC BY 4.0] May be used within the scope specified in Creative Commons Attribution BY 4.0 license, full text available at: ; -

Digitizing institution:

Systems Research Institute of the Polish Academy of Sciences

Original in:

Library of Systems Research Institute PAS

Projects co-financed by:

Operational Program Digital Poland, 2014-2020, Measure 2.3: Digital accessibility and usefulness of public sector information; funds from the European Regional Development Fund and national co-financing from the state budget.

Access:

Open