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.

本文2021年4月正式发表于Economic Theory第71卷，Economic Theory为best365网页版登录A-类期刊。

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