Optimal consumption and portfolio choice with ambiguous interest rates and volatility

Lin Q, Riedel F (2020)
Economic Theory.

Zeitschriftenaufsatz | E-Veröff. vor dem Druck | Englisch
 
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Autor*in
Lin, Qian; Riedel, FrankUniBi
Abstract / Bemerkung
We study continuous-time consumption and portfolio choice in the presence of Knightian uncertainty about interest rates. We develop the stochastic model that involves singular priors and analyze optimal behavior. When there is sufficiently large uncertainty about interest rates, the agent invests in the asset market only and abstains from the bond market.
Stichworte
Portfolio Choice; Knightian Uncertainty; Model uncertainty; Interest; Rate Ambiguity
Erscheinungsjahr
2020
Zeitschriftentitel
Economic Theory
ISSN
0938-2259
eISSN
1432-0479
Page URI
https://pub.uni-bielefeld.de/record/2946111

Zitieren

Lin Q, Riedel F. Optimal consumption and portfolio choice with ambiguous interest rates and volatility. Economic Theory. 2020.
Lin, Q., & Riedel, F. (2020). Optimal consumption and portfolio choice with ambiguous interest rates and volatility. Economic Theory. doi:10.1007/s00199-020-01306-9
Lin, Q., and Riedel, F. (2020). Optimal consumption and portfolio choice with ambiguous interest rates and volatility. Economic Theory.
Lin, Q., & Riedel, F., 2020. Optimal consumption and portfolio choice with ambiguous interest rates and volatility. Economic Theory.
Q. Lin and F. Riedel, “Optimal consumption and portfolio choice with ambiguous interest rates and volatility”, Economic Theory, 2020.
Lin, Q., Riedel, F.: Optimal consumption and portfolio choice with ambiguous interest rates and volatility. Economic Theory. (2020).
Lin, Qian, and Riedel, Frank. “Optimal consumption and portfolio choice with ambiguous interest rates and volatility”. Economic Theory (2020).

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