Information and Portfolio Selections
信息与投资组合

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.