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| Diego Nocetti |
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| ''Portfolio Selection with Endogenous Estimation Risk'' |
| ( 2006, Vol. 7 No.6 ) |
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| 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”. |
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| Keywords: |
JEL:
D8 - Information, Knowledge, and Uncertainty: General |
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| Manuscript Received : Dec 07 2005 | | Manuscript Accepted : Sep 26 2006 |
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