's information set for the myopic stock-bond portfolio. In-sample I find that the best forecast of the volatility and correlation is … simply the previous realised estimate. However, out-of-sample, analyst forecasts provide information not contained in …

understand the evolution of the home bias, this paper develops a dynamic model of information acquisition and portfolio choice … prices and hence on the future information sets. First, there is a measure of endogenous unlearnable uncertainty in asset … payoffs which generates decreasing returns to information when agents are sufficiently well informed about an asset, and hence …