Portfolio Selection with Endogenous Estimation Risk

I explore how investors allocate mental effort to learn about the mean return of a number of assets and I analyze how this allocation changes the portfolio selection problem. I show that the endogeneity of estimation risk alters the comparative statics of portfolio choice and provides an explanation to Huberman's (2001) empirical findings that â€œFamiliarity Breeds Investmentâ€.

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Year of publication:	2006
Authors:	Nocetti, Diego
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 7.2006, 6, p. 1-9
Publisher:	AccessEcon

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Classification:	G1 - General Financial Markets ; D8 - Information and Uncertainty
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005181865