Rational Inattention and Portfolio Selection
研究投资者因信息获取成本而理性地有限关注经济新闻，发现这种疏忽可能导致过度或不足投资，且最优交易策略对未来新闻频率和精度是短视的。
ABSTRACT Costly information acquisition makes it rational for investors to obtain important economic news with only limited frequency or limited accuracy. We show that this rational inattention to important news may make investors over‐ or underinvest. In addition, the optimal trading strategy is “myopic” with respect to future news frequency and accuracy. We find that the optimal news frequency is nonmonotonic in news accuracy and investment horizon. Furthermore, when both news frequency and news accuracy are endogenized, an investor with a higher risk aversion or a longer investment horizon chooses less frequent but more accurate periodic news updates.