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...

We apply a framework for estimating the investor-specific value of liquidity which can be used to inform asset allocation decisions. The shadow price of liquidity is a central concept in this framework. In the case study, the investor considers allocation to private equity, real estate and...

The formulation of the Black-Litterman model as a Bayesian mixed estimation approach allows for computing the posterior expected returns taking into account the views of investor on future returns. When the views turn out to be wrong, the resulting portfolio may lead to losses. Sometimes, it may...