%0 Journal Article
%T Information and Portfolio Selections<br>信息与投资组合
%A SUN Wan-gui~
%A <br>孙万贵
%J 系统工程理论与实践
%D 2005
%I 
%X The aim of this paper is to analysis the relations between information and portfolio selections. In a L~2-frame and given information, the optimal mean-variance payoff and mean-variance efficient frontier are expressed explicitly. The payoff-risk coefficient of information is introduced in order to describe the effect of information to portfolio. The mean and variance of the optimal payoff is determined by both the payoff-risk coefficient of information and the risk aversion parameter, but the risk price is only by the former. The optimal payoff is unique in the sense of constant times under equivalent information. Investors only invest the riskless asset if they have no information in the financial market.
%K portfolio
%K partial information
%K payoff-risk coefficient of information<br>投资组合
%K 部分信息
%K 信息的风险-收益系数
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=01BA20E8BA813E1908F3698710BBFEFEE816345F465FEBA5&cid=962324E222C1AC1D&jid=1D057D9E7CAD6BEE9FA97306E08E48D3&aid=5F2FB5E1B0562B35&yid=2DD7160C83D0ACED&vid=C5154311167311FE&iid=CA4FD0336C81A37A&sid=2A8D03AD8076A2E3&eid=96C778EE049EE47D&journal_id=1000-6788&journal_name=系统工程理论与实践&referenced_num=0&reference_num=16