Article ID: | iaor20013394 |
Country: | Poland |
Volume: | 28 |
Issue: | 1 |
Start Page Number: | 89 |
End Page Number: | 100 |
Publication Date: | Jan 1999 |
Journal: | Control and Cybernetics |
Authors: | Banek Tadeusz, Kowalik Przemysaw, Kozowski Edward |
Keywords: | portfolio selection |
A portfolio planning which takes into account a cost of purchase of market information is considered. In the model, the objective of the investor is to maximize probability of attaining or exceeding the required return z. It is shown that the stochastic model reduces to a nonlinear programming problem that can be solved efficiently.