The Effect of Information Quality on Optimal Portfolio Choice

被引：12
|
作者：
Lundtofte, Frederik [1 ]
机构：
[1] Univ St Gallen, St Gallen, Switzerland
来源：
FINANCIAL REVIEW | 2006年 / 41卷 / 02期
基金：
瑞士国家科学基金会;
关键词：
incomplete information; learning; estimation risk; portfolio choice; hedging demands;
D O I：
10.1111/j.1540-6288.2006.00137.x
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Three types of agents acting on different information sets are considered: fully informed agents, insiders, and outsiders. Differences in information quality are shown to affect the properties of their optimal portfolios. For an outsider, the share of wealth invested in the stock is decreasing in the variance of the stock. However, for an insider, the effect of an increasing stock variance on the optimal portfolio weight is ambiguous. In a calibration to U.S. data, the confidence intervals of the insider's demand for the stock converge, whereas the outsider's confidence intervals become wider.
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页码：157 / 185
页数：29
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