Qian Lin （林乾）, Frank Riede

Publication:

Economic Theory

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.

link：https://link.springer.com/article/10.1007/s00199-020-01306-9