Optimal Consumption with Intertemporal Substitution under Knightian Uncertainty
Ferrari G, Li H, Riedel F (2020) Center for Mathematical Economics Working Papers; 641.
Bielefeld: Center for Mathematical Economics.
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| Veröffentlicht | Englisch
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Abstract / Bemerkung
We study an intertemporal consumption and portfolio choice problem under Knightian uncertainty in which agent's preferences exhibit local intertemporal substitution. We also allow for
market frictions in the sense that the pricing functional is nonlinear. We prove existence and uniqueness of the optimal consumption plan, and we derive a set of sufficient first-order conditions
for optimality. With the help of a backward equation, we are able to determine the structure
of optimal consumption plans. We obtain explicit solutions in a stationary setting in which the
financial market has different risk premia for short and long positions.
MSC classification: 93E20, 91B42, 60H30, 65C30
MSC classification: 93E20, 91B42, 60H30, 65C30
Stichworte
Hindy-Huang-Kreps preferences;
Knightian uncertainty;
g-expectation;
ambiguity aversion;
singular stochastic control
Erscheinungsjahr
2020
Serientitel
Center for Mathematical Economics Working Papers
Band
641
Seite(n)
27
Urheberrecht / Lizenzen
ISSN
0931-6558
Page URI
https://pub.uni-bielefeld.de/record/2948952
Zitieren
Ferrari G, Li H, Riedel F. Optimal Consumption with Intertemporal Substitution under Knightian Uncertainty. Center for Mathematical Economics Working Papers. Vol 641. Bielefeld: Center for Mathematical Economics; 2020.
Ferrari, G., Li, H., & Riedel, F. (2020). Optimal Consumption with Intertemporal Substitution under Knightian Uncertainty (Center for Mathematical Economics Working Papers, 641). Bielefeld: Center for Mathematical Economics.
Ferrari, Giorgio, Li, Hanwu, and Riedel, Frank. 2020. Optimal Consumption with Intertemporal Substitution under Knightian Uncertainty. Vol. 641. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
Ferrari, G., Li, H., and Riedel, F. (2020). Optimal Consumption with Intertemporal Substitution under Knightian Uncertainty. Center for Mathematical Economics Working Papers, 641, Bielefeld: Center for Mathematical Economics.
Ferrari, G., Li, H., & Riedel, F., 2020. Optimal Consumption with Intertemporal Substitution under Knightian Uncertainty, Center for Mathematical Economics Working Papers, no.641, Bielefeld: Center for Mathematical Economics.
G. Ferrari, H. Li, and F. Riedel, Optimal Consumption with Intertemporal Substitution under Knightian Uncertainty, Center for Mathematical Economics Working Papers, vol. 641, Bielefeld: Center for Mathematical Economics, 2020.
Ferrari, G., Li, H., Riedel, F.: Optimal Consumption with Intertemporal Substitution under Knightian Uncertainty. Center for Mathematical Economics Working Papers, 641. Center for Mathematical Economics, Bielefeld (2020).
Ferrari, Giorgio, Li, Hanwu, and Riedel, Frank. Optimal Consumption with Intertemporal Substitution under Knightian Uncertainty. Bielefeld: Center for Mathematical Economics, 2020. Center for Mathematical Economics Working Papers. 641.
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2020-11-23T13:47:18Z
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