We jointly model the information choice and portfolio allocation problem of institutional investors who are concerned about their performance relative to a benchmark. Benchmarking increases an investor's effective risk-aversion, which reduces his willingness to speculate and, consequently, his...

We investigate the distribution of relative returns (RR) among agents who possess varying levels of information in an artificial stock market (ASM). We demonstrate the existence of the J-curve in this market. In contrast to previous studies, the agents in possession of the least information are...

We study the joint portfolio and information choice problem of institutional investors who are concerned about their performance relative to a benchmark. Benchmarking influences information choices through two distinct economic mechanisms. First, benchmarking reduces the number of shares in...