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Portfolio Selection with Endogenous Estimation Risk

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Author Info
Diego Nocetti () (The University of Memphis)
Abstract

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 Investmentâ€.

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File URL: http://www.accessecon.com/pubs/EB/2006/Volume7/EB-05G10010A.pdf
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Publisher Info
Article provided by AccessEcon in its journal Economics Bulletin.

Volume (Year): 7 (2006)
Issue (Month): 6 ()
Pages: 1-9
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:ebl:ecbull:v:7:y:2006:i:6:p:1-9

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Related research
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Find related papers by JEL classification:
G1 - Financial Economics - - General Financial Markets
D8 - Microeconomics - - Information, Knowledge, and Uncertainty

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