All wealth in assets is optimal under interest rate uncertainty

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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Year of publication:	2019
Authors:	Lin, Qian ; Riedel, Frank
Publisher:	Bielefeld : Bielefeld University, Center for Mathematical Economics (IMW)
Subject:	Interest Rate Ambiguity \| Optimal Portfolio Choice \| Knightian Uncertainty \| Model Uncertainty

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Series:	Center for Mathematical Economics Working Papers ; 711
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	1930317786 [GVK] hdl:10419/324242 [Handle]
Classification:	D81 - Criteria for Decision-Making under Risk and Uncertainty ; G11 - Portfolio Choice ; G12 - Asset Pricing
Source:	EconStor

Persistent link: https://www.econbiz.de/10015444327