The aim of this paper is to analysis the relations between information and portfolio selections. In a L~2-frame and given information, the optimal mean-variance payoff and mean-variance efficient frontier are expressed explicitly. The payoff-risk coefficient of information is introduced in order to describe the effect of information to portfolio. The mean and variance of the optimal payoff is determined by both the payoff-risk coefficient of information and the risk aversion parameter, but the risk price is...