All wealth in assets is optimal under interest rate uncertainty
Qian Lin and Frank Riedel
| Year of publication: |
[2019]
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|---|---|
| Authors: | Lin, Qian ; Riedel, Frank |
| Publisher: |
Bielefeld, Germany : Center for Mathematical Economics (IMW), Bielefeld University |
| Subject: | Interest Rate Ambiguity | Optimal Portfolio Choice | Knightian Uncertainty | Model Uncertainty | Portfolio-Management | Portfolio selection | Risiko | Risk | Zins | Interest rate | Entscheidung unter Unsicherheit | Decision under uncertainty | Theorie | Theory |
| Description of contents: |
This note shows that a long term investor who faces considerable Knightian uncertainty about the future evolution of interest rates optimally puts all his wealth into risky assets.
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| Extent: | 1 Online-Ressource (circa 15 Seiten) |
|---|---|
| Series: | Working papers / Universität Bielefeld, Center for Mathematical Economics (IMW). - Bielefeld : IMW, ISSN 2942-9536, ZDB-ID 2437810-0. - Vol. 711 (April 2019) |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
| Language: | English |
| Classification: | D81 - Criteria for Decision-Making under Risk and Uncertainty ; G11 - Portfolio Choice ; G12 - Asset Pricing |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015422240