Information and Portfolio Selections

Wan Gui SUN;Chun Feng WANG

Systems Engineering - Theory & Practice ›› 2005, Vol. 25 ›› Issue (1) : 19-26.

PDF(195 KB)
PDF(195 KB)
Systems Engineering - Theory & Practice ›› 2005, Vol. 25 ›› Issue (1) : 19-26. DOI: 10.12011/1000-6788(2005)1-19
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Information and Portfolio Selections

  • Wan Gui SUN(1)(2),Chun Feng WANG(2)
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Abstract

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...

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portfolio / partial information / payoff-risk coefficient of information

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Wan Gui SUN , Chun Feng WANG. Information and Portfolio Selections. Systems Engineering - Theory & Practice, 2005, 25(1): 19-26 https://doi.org/10.12011/1000-6788(2005)1-19
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