Numerical simulations of a portfolio selection model with information cost

Authors
Banek, T Kowalik, P Kozlowski, E
Citation
T. Banek et al., Numerical simulations of a portfolio selection model with information cost, CONTROL CYB, 29(2), 2000, pp. 617-622
Citations number
9
Categorie Soggetti
AI Robotics and Automatic Control
Journal title
CONTROL AND CYBERNETICS
ISSN journal
03248569 → ACNP
Volume
29
Issue
2
Year of publication
2000
Pages
617 - 622
Database
ISI
SICI code
0324-8569(2000)29:2<617:NSOAPS>2.0.ZU;2-E
Abstract
Results of numerical simulations of a portfolio selection model with inform ation cost are presented. Simulatious are based on the real data from the W arsaw Stock Exchange. The results show that buying the information accordin g to the presented model may lead to an essential reduction of investment r isk depending on the required level of return. If the return level is not t oo high, reduction of risk really takes place.