Long-Run Consumption Risk and Asset Allocation under Recursive Utility and Rational Inattention
نویسندگان
چکیده
منابع مشابه
Long-run Consumption Risk and Asset Allocation under Recursive Utility and Rational Inattention
We study the portfolio decision of a household with limited information-processing capacity in a setting with recursive utility. We find that rational inattention combined with a preference for early resolution of uncertainty leads to a significant drop in the share of portfolios held in risky assets, even when the departure from standard expected utility with rational expectations is small. In...
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ژورنال
عنوان ژورنال: Journal of Money, Credit and Banking
سال: 2016
ISSN: 0022-2879
DOI: 10.1111/jmcb.12302