Wealth, Information Acquisition, and Portfolio Choice
在一般偏好下近似求解了Grossman-Stiglitz经济，发现递减绝对风险厌恶与有偿信息获取共同解释了富裕家庭为何将更大比例财富投入风险资产，并指出有偿信息会加剧财富不平等。
I solve (with an approximation) a Grossman-Stiglitz economy under general preferences, thus allowing for wealth effects. Because information generates increasing returns, decreasing absolute risk aversion, in conjunction with the availability of costly information, is sufficient to explain why wealthier households invest a larger fraction of their wealth in risky assets. One no longer needs to resort to decreasing relative risk aversion, an empirically questionable assumption. Furthermore, I show how to distinguish empirically between these two explanations. Finally, I find that the availability of costly information exacerbates wealth inequalities. Copyright 2004, Oxford University Press.