Arbeitspapier
Optimal consumption and portfolio choice with ambiguity
We consider optimal consumption and portfolio choice in the presence of Knightian uncertainty in continuous-time. We embed the problem into the new framework of stochastic calculus for such settings, dealing in particular with the issue of non-equivalent multiple priors. We solve the problem completely by identifying the worst-case measure. Our setup also allows to consider interest rate uncertainty; we show that under some robust parameter constellations, the investor optimally puts all his wealth into the asset market, and does not save or borrow at all.
- Language
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Englisch
- Bibliographic citation
-
Series: Center for Mathematical Economics Working Papers ; No. 497
- Classification
-
Wirtschaft
- Event
-
Geistige Schöpfung
- (who)
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Lin, Qian
Riedel, Frank
- Event
-
Veröffentlichung
- (who)
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Bielefeld University, Center for Mathematical Economics (IMW)
- (where)
-
Bielefeld
- (when)
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2014
- Handle
- URN
-
urn:nbn:de:0070-pub-26753210
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Lin, Qian
- Riedel, Frank
- Bielefeld University, Center for Mathematical Economics (IMW)
Time of origin
- 2014
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