Portfolio Optimization under Informationally Asymmetric Markets

IF 0.3 Q4 MATHEMATICS, APPLIED Journal of Applied Mathematics Statistics and Informatics Pub Date : 2023-01-01 DOI:10.22457/jmi.v24a05220
Abdulmaliki Aruna Kilange, Kube Ananda, P. Ngare
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引用次数: 0

Abstract

Asymmetric information propagation frequently results in distorted financial markets and is generally a feature of informationally inefficient markets. We developed a model of optimal asset allocation using the martingale method to assist an investor in selecting an asset that performs better under the conditions of a market information cascade. In order to confirm that the model satisfies the required conditions, we applied the verification theorem and ascertained that the results produced were optimal. The model outperformed the famous Markowitz mean-variance type model and was shown to produce stable and consistent solutions under such market conditions.
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信息不对称市场下的投资组合优化
信息传播不对称经常导致金融市场扭曲,通常是信息无效市场的一个特征。我们利用鞅方法建立了一个最优资产配置模型,以帮助投资者在市场信息级联的条件下选择表现更好的资产。为了确认模型是否满足要求条件,我们应用验证定理,确定所得到的结果是最优的。该模型优于著名的马科维茨均值-方差型模型,并被证明在这种市场条件下产生稳定一致的解。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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0.00%
发文量
8
审稿时长
20 weeks
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