메뉴 건너뛰기




Volumn 62, Issue 4, 2007, Pages 1999-2040

Rational inattention and portfolio selection

Author keywords

[No Author keywords available]

Indexed keywords


EID: 34547904335     PISSN: 00221082     EISSN: 15406261     Source Type: Journal    
DOI: 10.1111/j.1540-6261.2007.01263.x     Document Type: Article
Times cited : (130)

References (45)
  • 4
    • 0000271564 scopus 로고    scopus 로고
    • The role of learning in dynamic portfolio decisions
    • Brennan, Michael J., 1998, The role of learning in dynamic portfolio decisions, European Finance Review 1, 295 306.
    • (1998) European Finance Review , vol.1 , pp. 295-306
    • Brennan, M.J.1
  • 5
    • 11244334513 scopus 로고    scopus 로고
    • and., Working paper, Anderson School Business, University of California, Los Angeles.
    • Brennan, Michael, and Yihong Xia, 2002, Tay's as good as cay, Working paper, Anderson School Business, University of California, Los Angeles.
    • (2002) Tay's As Good As Cay
    • Brennan, M.1    Xia, Y.2
  • 7
    • 0004292916 scopus 로고
    • ed., World Science Publishing Company, Teaneck, New Jersey).
    • Chen, Guanrong, ed., 1993, Approximate Kalman Filtering (World Science Publishing Company, Teaneck, New Jersey).
    • (1993) Approximate Kalman Filtering
    • Chen, G.1
  • 8
    • 0001424885 scopus 로고
    • The design of robust approximations to the stochastic differential equations of nonlinear filtering
    • in. J. K. Skwirzynski, ed.: Sijthoff and Noordhoff, Alphen aan den Rijn, The Netherlands).
    • Clark, Martin, 1978, The design of robust approximations to the stochastic differential equations of nonlinear filtering, in J. K. Skwirzynski, ed. : Communication Systems and Random Process Theory (Sijthoff and Noordhoff, Alphen aan den Rijn, The Netherlands).
    • (1978) Communication Systems and Random Process Theory
    • Clark, M.1
  • 9
    • 0000458461 scopus 로고
    • The information content of annual reports: A price and trading response analysis
    • and.
    • Cready, William M., and Patricia G. Mynatt, 1991, The information content of annual reports: A price and trading response analysis, The Accounting Review 66, 291 312.
    • (1991) The Accounting Review , vol.66 , pp. 291-312
    • Cready, W.M.1    Mynatt, P.G.2
  • 10
    • 84944835096 scopus 로고
    • Asset pricing in a production economy with incomplete information
    • Detemple, Jérôme, 1986, Asset pricing in a production economy with incomplete information, Journal of Finance 41, 383 391.
    • (1986) Journal of Finance , vol.41 , pp. 383-391
    • Jérôme, D.1
  • 11
    • 0000859860 scopus 로고
    • Further results on asset pricing with incomplete information
    • Detemple, Jérôme, 1991, Further results on asset pricing with incomplete information, Journal of Economic Dynamics and Control 15, 425 453.
    • (1991) Journal of Economic Dynamics and Control , vol.15 , pp. 425-453
    • Jérôme, D.1
  • 12
    • 0142219263 scopus 로고    scopus 로고
    • A Monte Carlo method for optimal portfolios
    • and.
    • Detemple, Jérôme, Rene Garcia, and Marcel Rindisbacher, 2003, A Monte Carlo method for optimal portfolios, Journal of Finance 58, 401 446.
    • (2003) Journal of Finance , vol.58 , pp. 401-446
    • Jérôme, D.1    Garcia, R.2    Rindisbacher, M.3
  • 13
    • 0344970236 scopus 로고
    • Acquisition d'information dans un modèle intertemporel en temps continu
    • and.
    • Detemple, Jérôme, and Richard Kihlstrom, 1987, Acquisition d'information dans un modèle intertemporel en temps continu, L'Actualite Économique 63, 118 137.
    • (1987) L'Actualite Économique , vol.63 , pp. 118-137
    • Jérôme, D.1    Kihlstrom, R.2
  • 14
    • 0034986069 scopus 로고    scopus 로고
    • Term structures of credit spreads with incomplete accounting information
    • and.
    • Duffie, Darrell, and David Lando, 2001, Term structures of credit spreads with incomplete accounting information, Econometrica 69, 633 664.
    • (2001) Econometrica , vol.69 , pp. 633-664
    • Duffie, D.1    Lando, D.2
  • 15
    • 0001668150 scopus 로고    scopus 로고
    • Transform analysis and asset pricing for affine jump-diffusions
    • and.
    • Duffie, Darrell, Jun Pan, and Kenneth Singleton, 2000, Transform analysis and asset pricing for affine jump-diffusions, Econometrica 68, 1343 1376.
    • (2000) Econometrica , vol.68 , pp. 1343-1376
    • Duffie, D.1    Pan, J.2    Singleton, K.3
  • 16
    • 0002056097 scopus 로고
    • Dividend yields and expected stock returns
    • and.
    • Fama, Eugene, and Kenneth French, 1988, Dividend yields and expected stock returns, Journal of Financial Economics 22, 3 27.
    • (1988) Journal of Financial Economics , vol.22 , pp. 3-27
    • Fama, E.1    French, K.2
  • 17
    • 0004281818 scopus 로고
    • and. 2nd ed. (. McGraw-Hill, New York).
    • Fiske, Susan, and Shelley Taylor, 1991, Social Cognition, 2nd ed. (McGraw-Hill, New York).
    • (1991) Social Cognition
    • Fiske, S.1    Taylor, S.2
  • 19
    • 84944832936 scopus 로고
    • Optimal portfolio choice under incomplete information
    • Gennotte, Gerard, 1986, Optimal portfolio choice under incomplete information, Journal of Finance 41, 733 746.
    • (1986) Journal of Finance , vol.41 , pp. 733-746
    • Gennotte, G.1
  • 21
    • 0000789996 scopus 로고
    • Dividend yields and expected stock returns: Alternative procedures for inference and measurement
    • Hodrick, Robert, 1992, Dividend yields and expected stock returns: Alternative procedures for inference and measurement, Review of Financial Studies 5, 357 386.
    • (1992) Review of Financial Studies , vol.5 , pp. 357-386
    • Hodrick, R.1
  • 23
    • 11344278864 scopus 로고    scopus 로고
    • In-sample or out-of-sample tests of predictability: Which one should we use?
    • and
    • Inoue, Atsushi, and Lutz Kilian, 2004, In-sample or out-of-sample tests of predictability: Which one should we use? Econometric Reviews 23, 371 402.
    • (2004) Econometric Reviews , vol.23 , pp. 371-402
    • Inoue, A.1    Kilian, L.2
  • 24
    • 0030105263 scopus 로고    scopus 로고
    • Time discretization of continuous-time filters and smoothers for HMM parameter estimation
    • and.
    • James, Matthew R., Vikram Krishnamurthy, and Francois Le Gland, 1996, Time discretization of continuous-time filters and smoothers for HMM parameter estimation, IEEE Transactions on Information Theory 42, 593 605.
    • (1996) IEEE Transactions on Information Theory , vol.42 , pp. 593-605
    • James, M.R.1    Krishnamurthy, V.2    Le Gland, F.3
  • 26
    • 0003422547 scopus 로고
    • Prenctice Hall, Englewood Cliffs, New Jersey).
    • Kahneman, Daniel, 1973, Attention and Effort (Prenctice Hall, Englewood Cliffs, New Jersey).
    • (1973) Attention and Effort
    • Kahneman, D.1
  • 28
    • 0040898734 scopus 로고    scopus 로고
    • On the predictability of stock returns: An asset-allocation perspective
    • and.
    • Kandel, Shmuel, and Robert Stambaugh, 1996, On the predictability of stock returns: An asset-allocation perspective, Journal of Finance 51, 385 424.
    • (1996) Journal of Finance , vol.51 , pp. 385-424
    • Kandel, S.1    Stambaugh, R.2
  • 29
    • 46149129689 scopus 로고
    • Predicting returns in stock and bond markets
    • and.
    • Keim, Donald, and Robert Stambaugh, 1986, Predicting returns in stock and bond markets, Journal of Financial Economics 17, 357 390.
    • (1986) Journal of Financial Economics , vol.17 , pp. 357-390
    • Keim, D.1    Stambaugh, R.2
  • 30
    • 84977738102 scopus 로고
    • Causal relations among stock returns, interest rates, real activity, and inflation
    • Lee, Bong-Soo, 1992, Causal relations among stock returns, interest rates, real activity, and inflation, Journal of Finance 47, 1591 1603.
    • (1992) Journal of Finance , vol.47 , pp. 1591-1603
    • Lee B.-Soo1
  • 31
    • 0012462939 scopus 로고    scopus 로고
    • Consumption, aggregate wealth, and expected stock returns
    • and.
    • Lettau, Martin, and Sydney Ludvigson, 2001, Consumption, aggregate wealth, and expected stock returns, Journal of Finance 56, 815 849.
    • (2001) Journal of Finance , vol.56 , pp. 815-849
    • Lettau, M.1    Ludvigson, S.2
  • 33
    • 1642387320 scopus 로고    scopus 로고
    • Optimal consumption and investment with transaction costs and multiple risky assets
    • Liu, Hong, 2004, Optimal consumption and investment with transaction costs and multiple risky assets, Journal of Finance 59, 289 338.
    • (2004) Journal of Finance , vol.59 , pp. 289-338
    • Liu, H.1
  • 34
    • 0036296927 scopus 로고    scopus 로고
    • Optimal portfolio selection with transaction costs and finite horizons
    • and.
    • Liu, Hong, and Mark Loewenstein, 2002, Optimal portfolio selection with transaction costs and finite horizons, Review of Financial Studies 15, 805 835.
    • (2002) Review of Financial Studies , vol.15 , pp. 805-835
    • Liu, H.1    Loewenstein, M.2
  • 35
    • 21344488530 scopus 로고
    • Stock prices, news, and business conditions
    • and.
    • McQueen, Grant, and V. Vance Roley, 1993, Stock prices, news, and business conditions, Review of Financial Studies 6, 683 707.
    • (1993) Review of Financial Studies , vol.6 , pp. 683-707
    • McQueen, G.1    Roley, V.V.2
  • 36
  • 37
    • 2542427486 scopus 로고    scopus 로고
    • Limited information capacity as a source of inertia
    • Moscarini, Giuseppe, 2004, Limited information capacity as a source of inertia, Journal of Economic Dynamics and Control 28, 2003 2035.
    • (2004) Journal of Economic Dynamics and Control , vol.28 , pp. 2003-2035
    • Moscarini, G.1
  • 38
    • 0041049050 scopus 로고    scopus 로고
    • Stock return predictability and the role of monetary policy
    • Patelis, Alex, 1997, Stock return predictability and the role of monetary policy, Journal of Finance 52, 1951 1972.
    • (1997) Journal of Finance , vol.52 , pp. 1951-1972
    • Patelis, A.1
  • 39
    • 33646497234 scopus 로고    scopus 로고
    • Investor attention, overconfidence and category learning
    • and.
    • Peng, Lin, and Wei Xiong, 2006, Investor attention, overconfidence and category learning, Journal of Financial Economics 80, 563 602.
    • (2006) Journal of Financial Economics , vol.80 , pp. 563-602
    • Peng, L.1    Xiong, W.2
  • 40
    • 0032370765 scopus 로고    scopus 로고
    • Estimation for nonlinear stochastic differential equations by a local linearization method
    • and.
    • Shoji, Isao, and Tohru Ozaki, 1998, Estimation for nonlinear stochastic differential equations by a local linearization method, Stochastic Analysis and Applications 16, 733 752.
    • (1998) Stochastic Analysis and Applications , vol.16 , pp. 733-752
    • Shoji, I.1    Ozaki, T.2
  • 41
    • 0038521562 scopus 로고    scopus 로고
    • Implications of rational inattention
    • Sims, Christopher, 2003, Implications of rational inattention, Journal of Monetary Economics 50, 665 690.
    • (2003) Journal of Monetary Economics , vol.50 , pp. 665-690
    • Sims, C.1
  • 42
    • 0000807050 scopus 로고    scopus 로고
    • Estimation of affine asset pricing models using the empirical characteristic function
    • Singleton, Kenneth, 2001, Estimation of affine asset pricing models using the empirical characteristic function, Journal of Econometrics 102, 111 141.
    • (2001) Journal of Econometrics , vol.102 , pp. 111-141
    • Singleton, K.1
  • 44
    • 84977713856 scopus 로고
    • Intradaily price-volume adjustments of NYSE stocks to unexpected earnings
    • and.
    • Woodruff, Catherine S., and Andrew J. Senchack Jr., 1988, Intradaily price-volume adjustments of NYSE stocks to unexpected earnings, Journal of Finance 43, 467 491.
    • (1988) Journal of Finance , vol.43 , pp. 467-491
    • Woodruff, C.S.1    Senchack Jr., A.J.2
  • 45
    • 0039107366 scopus 로고    scopus 로고
    • Learning about predictability: The effects of parameter uncertainty on dynamic asset allocation
    • Xia, Yihong, 2001, Learning about predictability: The effects of parameter uncertainty on dynamic asset allocation, Journal of Finance 56, 205 246.
    • (2001) Journal of Finance , vol.56 , pp. 205-246
    • Xia, Y.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.