Optimal consumption with intertemporal substitution under knightian uncertainty

Arbeitspapier

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.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Center for Mathematical Economics Working Papers ; No. 641

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Optimization Techniques; Programming Models; Dynamic Analysis ; Consumer Economics: Theory ; Criteria for Decision-Making under Risk and Uncertainty ; Portfolio Choice; Investment Decisions
• Thema: Hindy-Huang-Kreps preferences ; Knightian uncertainty ; g-expectation ; ambiguityaversion ; singular stochastic control

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Ferrari, Giorgio ; Li, Hanwu ; Riedel, Frank
• Ereignis: Veröffentlichung
• (wer): Bielefeld University, Center for Mathematical Economics (IMW)
• (wo): Bielefeld
• (wann): 2020

Weitere Informationen

• Handle: http://hdl.handle.net/10419/238119
• URN: urn:nbn:de:0070-pub-29489522
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ