Rational Inattention and Portfolio Selection  

Oleh:

Lixin, Huang ; Hong Liu

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 62 no. 4 (Aug. 2007), page 1999-2040.
Topik: portfolio; studies; risk aversion; portfolio investments; invetment policy
Fulltext: p 1999.pdf (302.88KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

Costly information acquisition makes it rational for investors to obtain important economic new with only limited frequency or limited accuracy. We show that this rational inattention to important news may make investors over - or underinvest. In addition, the optimal trading strategy is "myopic" with respect to future news frequency and accuracy. We find that the optimal news frequency is non monotomic in news accuracy and investment horizon. Furthermore, when both news frequency and news accuracy are endogenized, an investor with a higher risk aversion or a longer investment horizon chooses less frequent but more accurate periodic news updates.

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