Investor Information Choice with Macro and Micro Information


We study information and portfolio choices in a market of securities whose dividends depend on an aggregate (macro) risk factor and idiosyncratic (micro) shocks. Investors can acquire information about dividends at a cost. We... [ view full abstract ]


  1. Paul Glasserman (Columbia University)
  2. Harry Mamaysky (Columbia University)

Topic Areas

Equilibrium Models , Information Models , Portfolio Theory


WE-P-SY » Macro Models (14:30 - Wednesday, 18th July, Synge)

Presentation Files

The presenter has not uploaded any presentation files.