Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/97221 
Year of Publication: 
2014
Series/Report no.: 
Center for Mathematical Economics Working Papers No. 497
Publisher: 
Bielefeld University, Center for Mathematical Economics (IMW), Bielefeld
Abstract: 
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.
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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