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Choosing what to pay attention to
Fulton, Chad - In: Theoretical economics : TE ; an open access journal in … 17 (2022) 1, pp. 153-184
This paper studies static rational inattention problems with multiple actions and multiple shocks. We solve for the optimal signals chosen by agents and provide tools to interpret information processing. By relaxing restrictive assumptions previously used to gain tractability, we allow agents...
Persistent link: https://www.econbiz.de/10012806924
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Searching for information
Han, Jungsuk; Sangiorgi, Francesco - 2015
This paper provides a microfounded information acquisition technology based on a simple framework with information search. When searchable information is limited, an agent encounters increasingly more redundant information in his search for new information. Redundancy slows down the learning...
Persistent link: https://www.econbiz.de/10010529422
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Learning under ambiguity : a note on the belief dynamics of Epstein and Schneider (2007)
Heyen, Daniel - 2014
maxmin decision-maker equipped with such belief dynamics prefers, under prevalent conditions, a bet in an ambiguous urn over …
Persistent link: https://www.econbiz.de/10010424809
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Ambiguous Information, Portfolio Inertia, and Excess Volatility
Illeditsch, Philipp K. - 2011
I study the effects of risk and ambiguity (Knightian uncertainty) on optimal portfolios and equilibrium asset prices when investors receive information that is difficult to link to fundamentals. I show that the desire of investors to hedge ambiguity leads to portfolio inertia and excess...
Persistent link: https://www.econbiz.de/10013133587
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Ambiguous Information, Risk Aversion, and Asset Pricing
Illeditsch, Philipp K. - 2011
I study the effects of aversion to risk and ambiguity (uncertainty in the sense of Knight (1921)) on the value of the market portfolio when investors receive public information that they find difficult to link to fundamentals and hence treat as ambiguous. I show that small changes in public...
Persistent link: https://www.econbiz.de/10013134524
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Shadow Probability Theory for Asset Pricing under Ambiguity
Izhakian, Yehuda (Yud) - 2011
Assuming that probabilities (capacities) of events are random, this paper introduces a novel model of decision making … under ambiguity, called Shadow probability theory, a generalization of the Choquet expected utility. In this model … probability space. The level of ambiguity, and the decision maker's attitude toward it, are measured with respect to the directing …
Persistent link: https://www.econbiz.de/10013119880
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Liquidity as an Investment Style
Ibbotson, Roger G. - 2013
We present comprehensive evidence in support of giving liquidity equal standing to size, value/growth, and momentum as investment styles, as defined by Sharpe (1992). First, we show that financial market liquidity, as identified by stock turnover, is an economically significant indicator of...
Persistent link: https://www.econbiz.de/10013093548
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Asset Selection and Under-Diversification with Financial Constraints and Income : Implications for Household Portfolio Studies
Roche, Hervé - 2014
Empirical Studies of household portfolios have shown that young and relatively poor households hold under-diversified portfolios that are concentrated in a small number of assets, a fact often attributed to various behavioral biases. We present a model in which relatively poor investors, i.e.,...
Persistent link: https://www.econbiz.de/10013069115
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How Efficient Use of Information Changes Portfolio Allocations
Kemkhadze, Nato - 2013
Unknown model parameters, like expected returns, cannot be accurately estimated from short samples. Respective estimation error most likely leads to the portfolio, inconsistent with its target risk/return profile. We investigate the ways of reducing the impact of estimation error on portfolio...
Persistent link: https://www.econbiz.de/10013071700
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Strengthening Banks' Portfolio Against Asset Shocks : A Genetic Computational Approach
Gurciullo, Stefano - 2013
This thesis investigates models of market risk assessment based on genetic algorithms, with specific reference to asset portfolio choice under volatile market conditions. It does so by developing computational simulations of asset portfolios, which are then subjected to stressful price events. A...
Persistent link: https://www.econbiz.de/10013075302