A monetary value for initial information in portfolio optimization
نویسندگان
چکیده
منابع مشابه
A monetary value for initial information in portfolio optimization
We consider an investor maximizing his expected utility from terminal wealth with portfolio decisions based on the available information flow. This investor faces the opportunity to acquire some additional initial information G. His subjective fair value of this information is defined as the amount of money that he can pay for G such that this cost is balanced out by the informational advantage...
متن کاملPortfolio optimization with insider's initial information and counterparty risk
We study the gain of an insider having private information which concerns the default risk of a counterparty. More precisely, the default time τ is modelled as the first time a stochastic process hits a random barrier L. The insider knows this barrier (as it can be the case for example for the manager of the counterparty), whereas standard investors only observe its value at the default time. A...
متن کاملInformation pricing for portfolio optimization
Abstract: We consider the following problem: is there a rational or fair price for the reports made by analysts, experts, investor advisers concerning the rate of return (RR) of investments? We define the notion of the value of information included in the family of probability distributions of the RR. Next, we illustrate this notion for a linear-quadratic utility function.
متن کاملPortfolio Optimization Associated with a Weak Information
In this paper we consider an investor who trades in a complete financial market so as to maximize his expected utility of wealth at a prespecified time. We assume that he is in the following position : His portfolio decisions are based on a public information flow but he possesses extra information about the law of some functional of the future prices of a stock. Our basic question is then: How...
متن کاملValue of Information in Portfolio Decision Analysis
I t can be time consuming to use decision analysis to allocate resources over a portfolio of projects. It may be possible to attain most of the value added by decision analysis in significantly less time. This paper defines and compares different analytic strategies in terms of the resulting value added for a range of simulated portfolios. A portfolio consists of a set of candidate projects or ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Finance and Stochastics
سال: 2003
ISSN: 0949-2984,1432-1122
DOI: 10.1007/s007800200075