Portfolio rebalancing and asset pricing with heterogeneous inattention

DOI10.1111/IERE.12285MaRDI QIDQ4685647zbMATH OpenOpenAlexFDO

Authors Omar Rachedi

Publication date 9 October 2018

Published in International Economic Review (Search for Journal in Brave)

Full work available at URL http://www.bde.es/f/webbde/SES/Secciones/Publicaciones/PublicacionesSeriadas/DocumentosTrabajo/16/Fich/dt1633e.pdf

zbMATH Keywords

heterogeneous agentsasset pricingportfolio rebalancing

Mathematics Subject Classification ID

Portfolio theory (91G10) Heterogeneous agent models (91B69)

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• Attention for the inattentive: positive effects of negative financial shocks
• Portfolio inertia and epsilon-contaminations
• Portfolio choice, attention allocation, and price comovement
• Portfolio concentration, portfolio inertia, and ambiguous correlation
• Infrequent Random Portfolio Decisions in an Open Economy Model

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