“ALL WE KNOW” is the phrase Esther Murphy habitually used before launching into one of her impromptu lectures on American and European history. In response to a question, however obscure, Lisa Cohen writes in her meticulously researched and compulsively readable experiment in joint biography, All We Know: Three Lives,

she would lean back, take several staccato puffs on her cigarette, say: “All we know is” — and then launch into a long disquisition on the subject.

All we know. The phrase announces the partial, human quality of that knowledge — collective and individual — and the encyclopedic discourse that would follow. It is at once “everything we know” and “the very little we know,” a declaration of comprehensiveness and incompletion.

Murphy is the subject of one of three portraits in Cohen’s seductive, brilliant new book, which also treats the fan and collector Mercedes de Acosta and the fashion editor Madge Garland. Murphy, De Acosta, and Garland are canny choices as the subject of a group biography: all three were ambitious, idiosyncratic, larger-than-life women who were celebrated in their time but are now mostly forgotten. Cohen makes the case that these figures are more significant for us today because of their odd, marginal status and that their work is all the more important for being ephemeral and just out-of-reach. Narrating this story from the perspective of a prolix talker, a fan, and a tastemaker offers a novel and productively askew perspective on a moment and a milieu — the circles of well-to-do Anglo-American bohemians in the interwar and postwar period — that can feel overly familiar.

In addition to their professional accomplishments, these women were what would be known today as connectors — they got around. While each married, they all had primary involvements with other women, and took part in early twentieth-century lesbian transatlantic circles (think La Ronde with an all-female cast). Murphy, with her endless thirst for conversation, seems to have been friends with everyone, from Janet Flanner to Edmund Wilson to Natalie Barney to F. Scott Fitzgerald; De Acosta’s career as a seductress is well known; and, according to Murphy’s former lover, the British novelist Sybille Bedford, “everyone was one of Madge’s old flames.” The three knew each other, gossiped with each other, and shared friends and lovers. In this sense, “all we know” might also be understood to refer to a social world, to the utopia of ever-expanding social networks: Esther Murphy, Mercedes De Acosta, Madge Garland, and Everyone We Know.

Indeed, it’s connections that define their contemporary reputations, such as they are. Murphy, a writer with several reviews and no books to her name, is better known as the sister of the painter Gerald Murphy and the wife of Labour Party mainstay John Strachey. De Acosta’s fame is largely the result of her intimate friendships with Greta Garbo, Marlene Dietrich, Isadora Duncan, and others. Of Cohen’s three subjects, only Madge Garland achieved traditional professional success — she was fashion editor of British Vogue and later Principal of the School of Fashion in the Royal College of Art — although the fact that she worked in an ephemeral medium has led her to fall into disregard. Through...