Portfolio choice, attention allocation, and price comovement

DOI10.1016/j.jet.2010.03.001zbMath1244.91084OpenAlexW2090852955MaRDI QIDQ1958956

Jordi Mondria

Publication date: 30 September 2010

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jet.2010.03.001

zbMATH Keywords

asset pricingportfolio choicerational inattention

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (10)

Induced uncertainty, market price of risk, and the dynamics of consumption and wealth ⋮ Attention misallocation, social welfare and policy implications ⋮ Rational inattention and the dynamics of consumption and wealth in general equilibrium ⋮ Short-sale constraints, information acquisition, and asset prices ⋮ Rigid pricing and rationally inattentive consumer ⋮ Asset market equilibrium under rational inattention ⋮ Asset bundling and information acquisition of investors with different expertise ⋮ The puzzling evolution of the home bias, information processing and financial openness ⋮ The distribution of information and the price efficiency of markets ⋮ Costly information acquisition and the temporal resolution of uncertainty

Cites Work

• Unnamed Item
• Temporal von Neumann-Morgenstern and induced preferences
• Information Acquisition and Under-Diversification
• Knowing What Others Know: Coordination Motives in Information Acquisition
• A Noisy Rational Expectations Equilibrium for Multi-Asset Securities Markets
• Information Acquisition in a Noisy Rational Expectations Economy
• Temporal Resolution of Uncertainty and Dynamic Choice Theory
• Strategic Cross-Trading in the U.S. Stock Market*
• Business Cycle Dynamics under Rational Inattention
• Information Markets and the Comovement of Asset Prices

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