Portfolio selection model with information cost

Citation
T. Banek et al., Portfolio selection model with information cost, CONTROL CYB, 28(1), 1999, pp. 89-99
Citations number
7
Categorie Soggetti
AI Robotics and Automatic Control
Journal title
CONTROL AND CYBERNETICS
ISSN journal
03248569 → ACNP
Volume
28
Issue
1
Year of publication
1999
Pages
89 - 99
Database
ISI
SICI code
0324-8569(1999)28:1<89:PSMWIC>2.0.ZU;2-A
Abstract
A portfolio planning model which takes into account a cost of purchase of m arket information is considered. In the presented model, the objective of t he investor is to maximize probability of attaining of exceeding the requir ed return z. It is shown that the presented stochastic model reduces to a n onlinear programming problem that can be solved efficiently.