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• W1579969345 abstract "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." @default.
• W1579969345 created "2016-06-24" @default.
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• W1579969345 date "2016-03-01" @default.
• W1579969345 modified "2023-09-26" @default.
• W1579969345 title "Long-Run Consumption Risk and Asset Allocation under Recursive Utility and Rational Inattention" @default.
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• W1579969345 doi "https://doi.org/10.1111/jmcb.12302" @default.
• W1579969345 hasPublicationYear "2016" @default.
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