All Rights Reserved
AccessEcon LLC 2006, 2008.
Powered by MinhViet JSC
ralph lauren polo

 
Diego Nocetti
 
''Portfolio Selection with Endogenous Estimation Risk''
( 2006, Vol. 7 No.6 )
 
 
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 “Familiarity Breeds Investment”.
 
 
Keywords:
JEL: G1 - General Financial Markets: General (includes Measurement and Data)
D8 - Information, Knowledge, and Uncertainty: General
 
Manuscript Received : Dec 07 2005 Manuscript Accepted : Sep 26 2006

  This abstract has been downloaded 544 times                The Full PDF of this paper has been downloaded 87702 times