Portfolio selection model with information cost

Portfolio selection model with information cost

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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: , ,
Keywords: portfolio selection
Abstract:

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.

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