Diversification plays an important role in financial theory and lays the foundation for financial risk management. However, its role is greatly weakened when systemic risk events occur. In this paper, we study portfolio selection against systemic risk from the perspective of individual...

In this paper, we study an irreversible investment problem under Knightian uncertainty. In a general framework, in which Knightian uncertainty is modeled through a set of multiple priors, we prove existence and uniqueness of the optimal investment plan, and derive necessary and sufficient...