Optimal Asset and Attention Allocation ∗

@inproceedings{Andrei2014OptimalAA,
  title={Optimal Asset and Attention Allocation ∗},
  author={Daniel Andrei and Michael Hasler},
  year={2014}
}
We consider the dynamic optimal strategy of an investor who can simultaneously manage her portfolio and acquire information about the expected returns of the risky asset. We show that the optimal level of attention to news is a hump-shaped function of expected returns and an increasing function of return variance and uncertainty. For unusually high values… CONTINUE READING