Information Acquisition and Under-Diversification
---- Acknowledgements ----
We thank Andy Atkeson, Dave Backus, Hal Cole, Bernard Dumas, Ned Elton, Fatih Guvenen, Bob Hall, Ron Kaniel, Ralph Koijen, Hanno Lustig, Massimo Massa, Pascal Maenhout, Lin Peng, Antii Petajisto, Urs Peyer, Matthew Pritsker, Tom Sargent, Chris Sims, Eric Van Wincoop, Pierre-Olivier Weill, seminar participants at NYU, Cornell, USC, UCLA, Stanford, UCSB, INSEAD, Ohio State, the Federal Reserve Board, Chicago Fed, Kellogg, European Central Bank, Stockholm Institute for Financial Research, BI Oslo, Tilburg, and participants at the 2005 Gerzensee Summer AP Institute, the 2005 Econometric Society World Congress, the 2005 SED, EFA and FMA meetings, 2006 Econometric Society and AEA meetings, SEMSI workshop on model uncertainty, Caesarea conference on Capital Markets and Risk Management for helpful comments. A previous version of this paper was titled "Information Acquisition and Portfolio Under-Diversification." The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.