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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”.
D8 - Information, Knowledge, and Uncertainty: General
Manuscript Received : Dec 07 2005 Manuscript Accepted : Sep 26 2006

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