Value of information for portfolio optimization

MaRDI QIDQ1884213zbMATH OpenFDO

Authors Tadeusz Banek, Roman Kulikowski

Publication date 26 October 2004

Published in Bulletin of the Polish Academy of Sciences. Technical Sciences (Search for Journal in Brave)

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

• Information pricing for portfolio optimization
• Der Wert von Renditeprognosen für Anlageentscheidungen
• Value of information in portfolio selection, with a Taiwan stock market application illustration
• The value of information for optimal portfolio management
• A monetary value for initial information in portfolio optimization

Cited in

(12)

• Information evalutation in capital markets
• Entropy and the value of information for investors: the prior-free implications
• Who consults investment analysts?
• Components of portfolio value of information
• Value of information in portfolio selection, with a Taiwan stock market application illustration
• HOW TO PRICE INFORMATION BY KULLBACK-LEIBLER ENTROPY AND A MOMENT-RETURN RELATION FOR PORTFOLIOS
• Obtaining distributional information from valuation lattices
• Portfolio Optimization Using Forward-Looking Information*
• The value of information in portfolio problems with dependent projects
• Information pricing for portfolio optimization
• On the financial value of information
• Der Wert von Renditeprognosen für Anlageentscheidungen

This page was built for publication: Value of information for portfolio optimization

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1884213)