文澜金融论坛（第283期）

摘要：

We study a rational expectations equilibrium economy where investors rely on suggestions of financial advisers to construct their investment strategies. Advisers observe signals about fundamentals and communicate the strategy that optimizes the expected utility of the investors given that information. Investors are of bounded rationality as they use the sum-of-weights-equals-one heuristic and are subject to price information neglect. Under these constraints, they optimally aggregate all strategies suggested by their advisers. We study how many advisers an investor should consult with and how much to expend on each of the advisers. When information is exogenous, investors should consult at least two advisers even if there is a large difference in the precision of their signals. However, it is not optimal to consult with all possible advisers unless their signal precision is relatively homogenous. When information is endogenous, it is typically the case that investors consult with a small number of advisers and spend an equal amount on each of their advisers under sufficient convexity of the information acquisition cost function.  For example, under quadratic information acquisition costs, it is optimal to consult with exactly two advisers.

主讲人介绍：

娄有成，中国科学院数学与系统科学研究院副研究员，主要研究兴趣是理性预期均衡理论、金融市场微观结构、行为金融、社会经济网络等。已发表20余篇学术期刊论文，包括JET 、JEDC、EJOR、IEEE TAC、Automatica 等。现担任IJET副编委。获2015年度香江学者计划奖、2021和2022年度中国信息经济学会学术年会最佳论文、2023年度中国优选法统筹法与经济数学研究会量化金融与保险分会学术年会优秀论文等。