Long‐Run Consumption Risk and Asset Allocation under Recursive Utility and Rational Inattention
研究了有限信息处理能力（理性疏忽）的家庭在递归效用下的投资组合决策，发现即使偏离标准预期效用很小，理性疏忽与早期不确定性解决偏好也会显著降低风险资产持有比例，并提高均衡股权溢价。
We study the portfolio decision of a household with limited information‐processing capacity (rational inattention [RI]) in a setting with recursive utility. We find that RI combined with a preference for early resolution of uncertainty could lead to a significant drop in the share of portfolios held in risky assets, even when the departure from the standard expected utility setting with full‐information rational expectations is small. In addition, we show that the equilibrium equity premium increases with the degree of inattention because inattentive investors with recursive utility face greater long‐run risk and thus require higher compensation in equilibrium.