Center for Mathematical Economics
New Paper by Frank Riedel
Veröffentlicht am 10. September 2020
The paper "Optimal consumption and portfolio choice with ambiguous interest rates and volatility“ has been published online by Economic Theory.
We establish the surprising result that a long term investor who faces sufficiently large Knightian uncertainty about interest rates optimally invests all wealth in risky assets, and stays away from the (deceptively safe) bond market.
Link:
https://rdcu.be/b6ZUI