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Center for Mathematical Economics

New Paper by Frank Riedel

Veröffentlicht am 10. September 2020, 12:13 Uhr
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
Gesendet von GBauch in Forschung
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