Optimal consumption and portfolio choice with ambiguous interest rates and volatility

Qian Lin · Frank Riedel

32 citations0/0 files storedEconomic Theory

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Economic theories and models Risk and Portfolio Optimization

Abstract

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.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 32 citations exist upstream.

References

1999Coherent Measures of Risk 1999Continuous Martingales and Brownian Motion 1971Optimum consumption and portfolio rules in a continuous-time model 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case 1989Maxmin expected utility with non-unique prior 2002Convex measures of risk and trading constraints 2000Investing for the Long Run when Returns Are Predictable 2006Ambiguity Aversion, Robustness, and the Variational Representation of Preferences

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.