Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/288393 
Year of Publication: 
2020
Citation: 
[Journal:] Economic Theory [ISSN:] 1432-0479 [Volume:] 71 [Issue:] 3 [Publisher:] Springer [Place:] Berlin, Heidelberg [Year:] 2020 [Pages:] 1189-1202
Publisher: 
Springer, Berlin, Heidelberg
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.
Subjects: 
Portfolio Choice
Knightian Uncertainty
Model uncertainty
Interest Rate Ambiguity
JEL: 
D81
G11
G12
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
Document Version: 
Published Version

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