TY  - GEN
AB  - 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.
DA  - 2014
KW  - Robust Finance
KW  - Optimal Portfolio Choice
KW  - Knightian Uncertainty
KW  - Ambiguity
KW  - Model Uncertainty
LA  - eng
PY  - 2014
SN  - 0931-6558
SP  - 42-
TI  - Optimal consumption and portfolio choice with ambiguity
UR  - https://nbn-resolving.org/urn:nbn:de:0070-pub-26753210
Y2  - 2024-11-22T05:34:16
ER  -