×

Information pricing for portfolio optimization. (English) Zbl 1166.93383

Summary: 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.

MSC:

93E20 Optimal stochastic control
91G10 Portfolio theory
PDFBibTeX XMLCite
Full Text: EuDML