Optimal consumption and portfolio choice with ambiguous interest rates and volatility

15Citations
Citations of this article
14Readers
Mendeley users who have this article in their library.

This article is free to access.

Abstract

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.

Cite

CITATION STYLE

APA

Lin, Q., & Riedel, F. (2021). Optimal consumption and portfolio choice with ambiguous interest rates and volatility. Economic Theory, 71(3), 1189–1202. https://doi.org/10.1007/s00199-020-01306-9

Register to see more suggestions

Mendeley helps you to discover research relevant for your work.

Already have an account?

Save time finding and organizing research with Mendeley

Sign up for free