Choosing what to pay attention to

• 成果类型: Article
• 署名作者: Fulton, Chad
• 署名单位: Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: THEORETICAL ECONOMICS
• ISSN/ISSBN: 1933-6837
• DOI: 10.3982/TE3850
• 发表日期: 2022-01-01
• 页码: 153-184
• 关键词: rational inattention; information acquisition; price discrimination; portfolio choice; D81; D83; G11

摘要

This paper studies static rational inattention problems with multiple actions and multiple shocks. We solve for the optimal signals chosen by agents and provide tools to interpret information processing. By relaxing restrictive assumptions previously used to gain tractability, we allow agents more latitude to choose what to pay attention to. Our applications examine the pricing problem of a monopolist who sells in multiple markets and the portfolio problem of an investor who can invest in multiple assets. The more general models that our methods allow us to solve yield new results. We show conditions under which the multimarket monopolist would optimally choose a uniform pricing strategy, and we show how optimal information processing by rationally inattentive investors can be interpreted as learning about the Sharpe ratio of a diversified portfolio.