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Logarithmic Preferences, Myopic Decisions, and Incomplete Information

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Author Info
Feldman, David
Abstract

This paper examines a dynamic production economy with incomplete information and shows that the set of myopic preferences, those that induce myopic decisions, depends on the representation of the information flow. For example, logarithmic preferences are nonmyopic when some of the economic state variables are unobservable. The analysis offers a broader definition of myopic behavior, termed which is independent of the representation of the information flow. Allowing for any smooth concave utility function, logarithmic preferences endogenously emerge as necessary for generalized myopia in incomplete information economies; and when combined with restrictions on the information structure, they become sufficient.

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File URL: http://journals.cambridge.org/abstract_S0022109000008292
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Publisher Info
Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

Volume (Year): 27 (1992)
Issue (Month): 04 (December)
Pages: 619-629
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:cup:jfinqa:v:27:y:1992:i:04:p:619-629_00

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  1. Lundtofte, Frederik, 2005. "Expected Life-Time Utility and Hedging Demands in a Partially Observable Economy," Working Papers 2005:17, Lund University, Department of Economics. [Downloadable!]
  2. Michael Brennan & Yihong Xia, 1999. "Assessing Assets Pricing Anomalies," University of California at Los Angeles, Anderson Graduate School of Management 1098, Anderson Graduate School of Management, UCLA. [Downloadable!]
  3. Shmuel Kandel & Robert F. Stambaugh, 1995. "On the Predictability of Stock Returns: An Asset-Allocation Perspective," NBER Working Papers 4997, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  4. Constantin Mellios, 1998. "Un modèle d'équilibre général avec volatilité stochastique des taux d'intérêt et information incomplète," Annales d'Economie et de Statistique, ADRES, issue 51, pages 05, Juillet-S. [Downloadable!]
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