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Rational Inattention and Portfolio Selection
16 references·16 citing·43 second hopsampled
Rational Inattention and Portfolio Selection (2007)Rational Inattention and Portfolio Select…The Econometrics of Financial Markets (2012)The Econometrics of Financial…Investor attention, overconfidence and category learning (2006)Investor attention, overconfi…Implications of rational inattention (2003)Implications of rational inat…Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Term Structures of Credit Spr…Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Consumption, Aggregate Wealth…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Predictive regressions (1999)Predictive regressionsNumerical Methods in Economics (1998)Numerical Methods in EconomicsThe Econometrics of Financial Markets (1997)The Econometrics of Financial…Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement (1992)Dividend Yields and Expected …Social cognition, 2nd ed. (1991)Social cognition, 2nd ed.Continuous-Time Finance. (1991)Continuous-Time Finance.Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…Dividend yields and expected stock returns (1988)Dividend yields and expected …Predicting returns in the stock and bond markets (1986)Predicting returns in the sto…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…More attention and better volatility forecast accuracy: How does war attention affect stock volatility predictability? (2023)More attention and better vol…Belief Overreaction and Stock Market Puzzles (2023)Belief Overreaction and Stock…Macroeconomic Attention and Announcement Risk Premia (2022)Macroeconomic Attention and A…Extreme directional spillovers between investor attention and green bond markets (2022)Extreme directional spillover…Volatility communicator or receiver? Investigating volatility spillover mechanisms among Bitcoin and other financial markets (2021)Volatility communicator or re…More heat than light: Investor attention and bitcoin price discovery (2020)More heat than light: Investo…Making sense of soft information: interpretation bias and loan quality (2019)Making sense of soft informat…Dynamic Attention Behavior Under Return Predictability (2019)Dynamic Attention Behavior Un…Shaping Expectations and Coordinating Attention: The Unintended Consequences of FOMC Press Conferences (2018)Shaping Expectations and Coor…A News-Utility Theory for Inattention and Delegation in Portfolio Choice (2018)A News-Utility Theory for Ina…Are Friday announcements special? Overcoming selection bias (2016)Are Friday announcements spec…Investor Attention and Macroeconomic News Announcements: Evidence from Stock Index Futures (2015)Investor Attention and Macroe…Investor attention and FX market volatility (2015)Investor attention and FX mar…Attentive insider trading (2014)Attentive insider tradingFinancial Contagion and Attention Allocation (2012)Financial Contagion and Atten…Prediction-based portfolio optimization model using neural networks (2009)Prediction-based portfolio op…Some International Evidence on Output-Inflation Tradeoffs. (1973)An Economic Theory of Self-Control (1977)Golden Eggs and Hyperbolic Discounting (1997)Sticky Information versus Sticky Prices: A Proposal to Replace the New Keynesian Phillips Curve (2002)Were There Regime Switches in U.S. Monetary Policy? (2006)In Search of Attention (2011)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)The General Theory of Employment, Interest and Money. (1936)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)Common risk factors in the returns on stocks and bonds (1993)An Intertemporal Capital Asset Pricing Model (1973)The arbitrage theory of capital asset pricing (1976)The relationship between return and market value of common stocks (1981)Industry costs of equity (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)Time to Build and Aggregate Fluctuations (1982)Statistical analysis of cointegration vectors (1988)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Expected Stock Returns and Variance Risk Premia (2009)Presidential Address: Discount Rates (2011)The short of it: Investor sentiment and anomalies (2011)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)A Jump-Diffusion Model for Option Pricing (2002)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Strategic Asset Allocation (2002)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)Framing analysis: An approach to news discourse (1993)A Social Identity Theory of Leadership (2001)An Organizing Framework for Collective Identity: Articulation and Significance of Multidimensionality. (2004)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Introductory Econometrics for Finance (2008)
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References

  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 2012The Econometrics of Financial Markets5,875 cited
  • 1997The Econometrics of Financial Markets5,007 cited
  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
  • 2003Implications of rational inattention3,869 cited
  • 1988Dividend yields and expected stock returns3,574 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1998Numerical Methods in Economics2,587 cited
  • 1991Social cognition, 2nd ed.2,330 cited
  • 2001Consumption, Aggregate Wealth, and Expected Stock Returns2,187 cited
  • 1991Continuous-Time Finance.1,788 cited
  • 1986Predicting returns in the stock and bond markets1,715 cited
  • 1999Predictive regressions1,614 cited
  • 1992Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement1,521 cited
  • 2006Investor attention, overconfidence and category learning1,451 cited
  • 2001Term Structures of Credit Spreads with Incomplete Accounting Information

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1,321 cited

Cited by

  • 2009Prediction-based portfolio optimization model using neural networks171 cited
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  • 2022Macroeconomic Attention and Announcement Risk Premia139 cited
  • 2023Belief Overreaction and Stock Market Puzzles132 cited
  • 2015Investor attention and FX market volatility131 cited
  • 2018Shaping Expectations and Coordinating Attention: The Unintended Consequences of FOMC Press Conferences127 cited
  • 2019Making sense of soft information: interpretation bias and loan quality117 cited
  • 2022Extreme directional spillovers between investor attention and green bond markets103 cited
  • 2018A News-Utility Theory for Inattention and Delegation in Portfolio Choice97 cited
  • 2012Financial Contagion and Attention Allocation84 cited
  • 2016Are Friday announcements special? Overcoming selection bias78 cited
  • 2021Volatility communicator or receiver? Investigating volatility spillover mechanisms among Bitcoin and other financial markets77 cited
  • 2023More attention and better volatility forecast accuracy: How does war attention affect stock volatility predictability?66 cited
  • 2020More heat than light: Investor attention and bitcoin price discovery61 cited
  • 2019Dynamic Attention Behavior Under Return Predictability54 cited
  • 2015Investor Attention and Macroeconomic News Announcements: Evidence from Stock Index Futures49 cited