Article ID: | iaor20117384 |
Volume: | 39 |
Issue: | 4 |
Start Page Number: | 283 |
End Page Number: | 288 |
Publication Date: | Jul 2011 |
Journal: | Operations Research Letters |
Authors: | Shim Gyoocheol |
Keywords: | information |
I investigate an optimal information gathering and consumption/investment choice of an investor who can find a better opportunity by an information gathering option. I obtain a closed form solution, under which, the investor gathers information as soon as his wealth exceeds a certain critical level, consumes less and takes more risk than he would in the absence of such an option.