Abstract
AbstractWe 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.
Funder
Deutsche Forschungsgemeinschaft
National Natural Science Foundation of China
Publisher
Springer Science and Business Media LLC
Subject
Economics and Econometrics
Cited by
18 articles.
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