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  • Search: subject:"Interest Rate Ambiguity"
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Year of publication
Subject
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Interest Rate Ambiguity 2 Knightian Uncertainty 2 Model uncertainty 2 Portfolio Choice 2 Decision under uncertainty 1 Entscheidung unter Unsicherheit 1 Interest rate 1 Portfolio selection 1 Portfolio-Management 1 Risiko 1 Risk 1 Theorie 1 Theory 1 Volatility 1 Volatilität 1 Zins 1
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Free 2
Type of publication
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Article 2
Type of publication (narrower categories)
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Article 1 Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 2
Author
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Lin, Qian 2 Riedel, Frank 2
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Economic Theory 1 Economic theory 1
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ECONIS (ZBW) 1 EconStor 1
Showing 1 - 2 of 2
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Optimal consumption and portfolio choice with ambiguous interest rates and volatility
Lin, Qian; Riedel, Frank - In: Economic theory 71 (2021) 3, pp. 1189-1202
Persistent link: https://www.econbiz.de/10012584420
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Cover Image
Optimal consumption and portfolio choice with ambiguous interest rates and volatility
Lin, Qian; Riedel, Frank - In: Economic Theory 71 (2020) 3, pp. 1189-1202
We study continuous-time consumption and portfolio choice in the presence of Knightian uncertainty about interest rates. We develop the stochastic model that involves singular priors and analyze optimal behavior. When there is sufficiently large uncertainty about interest rates, the agent...
Persistent link: https://www.econbiz.de/10014503877
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