Portfolio Selection with Endogenous Estimation Risk

被引：0
|
作者：
Nocetti, Diego [1 ]
机构：
[1] Univ Memphis, Memphis, TN 38152 USA
来源：
ECONOMICS BULLETIN | 2006年 / 7卷
关键词：
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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".
引用
收藏
页数：9
相关论文
共 50 条
  • [1] ESTIMATION RISK IN PORTFOLIO SELECTION MODEL
    KALYMON, BA
    [J]. JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1971, 6 (01) : 559 - 582
  • [2] Portfolio selection with mental accounts and estimation risk
    Alexander, Gordon J.
    Baptista, Alexandre M.
    Yan, Shu
    [J]. JOURNAL OF EMPIRICAL FINANCE, 2017, 41 : 161 - 186
  • [3] ESTIMATION RISK IN PORTFOLIO SELECTION MODEL - COMMENT
    FRANKFUR.GM
    PHILLIPS, HE
    SEAGLE, JP
    [J]. JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1972, 7 (01) : 1423 - 1424
  • [4] ESTIMATION RISK AND SIMPLE RULES FOR OPTIMAL PORTFOLIO SELECTION
    CHEN, SN
    BROWN, SJ
    [J]. JOURNAL OF FINANCE, 1983, 38 (04): : 1087 - 1093
  • [5] Portfolio selection with mental accounts: An equilibrium model with endogenous risk aversion
    Alexander, Gordon J.
    Baptista, Alexandre M.
    Yan, Shu
    [J]. JOURNAL OF BANKING & FINANCE, 2020, 110
  • [6] Portfolio Selection with Estimation Risk: A Test-Based Approach
    Antoine, Bertille
    [J]. JOURNAL OF FINANCIAL ECONOMETRICS, 2012, 10 (01) : 164 - 197
  • [7] MORE ON ESTIMATION RISK AND SIMPLE RULES FOR OPTIMAL PORTFOLIO SELECTION
    ALEXANDER, GJ
    RESNICK, BG
    [J]. JOURNAL OF FINANCE, 1985, 40 (01): : 125 - 133
  • [8] Tail mean-variance portfolio selection with estimation risk
    Huang, Zhenzhen
    Wei, Pengyu
    Weng, Chengguo
    [J]. INSURANCE MATHEMATICS & ECONOMICS, 2024, 116 : 218 - 234
  • [9] Portfolio Selection with Robust Estimation
    DeMiguel, Victor
    Nogales, Francisco J.
    [J]. OPERATIONS RESEARCH, 2009, 57 (03) : 560 - 577
  • [10] Mean-variance portfolio selection with estimation risk and transaction costs
    Mei, Xiaoling
    Zhu, Huanjun
    Chen, Chongzhu
    [J]. APPLIED ECONOMICS, 2023, 55 (13) : 1436 - 1453
12345