Information acquisition and under-diversification

DOI10.1111/J.1467-937X.2009.00583.XzbMATH Open1231.91421OpenAlexW2892311197MaRDI QIDQ3563643FDOQ3563643

Laura L. Veldkamp, Stijn van Nieuwerburgh

Publication date: 1 June 2010

Published in: Review of Economic Studies (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-937x.2009.00583.x

Mathematics Subject Classification ID

Portfolio theory (91G10) Utility theory (91B16) Economics of information (91B44)

Cited In (38)

• Portfolio diversification and model uncertainty: A robust dynamic mean‐variance approach
• Rational quantitative trading in efficient markets
• Information and inequality
• Geometric methods for finite rational inattention
• Wright meets Markowitz: how standard portfolio theory changes when assets are technologies following experience curves
• On information costs, short sales and the pricing of extendible options, steps and Parisian options
• Relative performance concerns among investment managers
• Robust investment strategies with two risky assets
• Rational inattention and the dynamics of consumption and wealth in general equilibrium
• The tradeoff between risk sharing and information production in financial markets
• Induced uncertainty, market price of risk, and the dynamics of consumption and wealth
• Public disclosure and private information acquisition: a global game approach
• Asset bundling and information acquisition of investors with different expertise
• Financial complexity and trade
• Portfolio selection with exploration of new investment assets
• Management compensation and market timing under portfolio constraints
• Rationally inattentive control of Markov processes
• News media and delegated information choice
• Long term optimal investment with regime switching: inflation, information and short sales
• Effects of common factors on dynamics of stocks traded by investors with limited information capacity
• DRIVING FORCE IN INVESTMENT
• Attention misallocation, social welfare and policy implications
• Portfolio choice, attention allocation, and price comovement
• Rigid pricing and rationally inattentive consumer
• Directed attention and nonparametric learning
• When to seek expert advice? A simple model of borrowers with limited liability
• Short-sale constraints, information acquisition, and asset prices
• Information acquisition and expected returns: evidence from EDGAR search traffic
• Financial innovation and risk: the role of information
• Estimating information cost functions in models of rational inattention
• A note on rational inattention and rate distortion theory
• Foundations for optimal inattention
• Asset market equilibrium under rational inattention
• Optimal attention and heterogeneous precautionary saving behavior
• Information acquisition and provision in school choice: an experimental study
• A simple robust asset pricing model under statistical ambiguity
• Pricing derivatives in the presence of shadow costs of incomplete information and short sales
• Information acquisition and provision in school choice: a theoretical investigation

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