The Economic Cost of Selection Neglect in Portfolio Choice: Evidence from Global Fine Wine Auctions
Abstract
We test whether investors incur economic costs when they observe only a selected subset of market outcomes. Building on the theory by Jehiel (2018) and using over 1.3 million wine auction transactions, we demonstrate that investors who ignored selection effects construct suboptimal mean-variance portfolios, and forgo 0.4% to 0.8% per month in certainty-equivalent returns. Therefore, our findings show that biased information sets lead to economically meaningful utility losses.
Fields of Study & Subjects
Wine Industry and Tourism
Art History and Market Analysis
Financial Markets and Investment Strategies
Publication details
- Journal / source
- SSRN Electronic Journal
- Publisher
- Elsevier BV
- Publication date
- 1 January 2026
- Document type
- Preprint