Liu, Hening - In: Journal of Economic Dynamics and Control 35 (2011) 4, pp. 623-640
I examine a continuous-time intertemporal consumption and portfolio choice problem under ambiguity, where expected returns of a risky asset follow a hidden Markov chain. Investors with Chen and Epstein's (2002) recursive multiple priors utility possess a set of priors for unobservable investment...