英文标题：
《Optimal consumption and portfolio choice with ambiguity》
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作者：
Qian Lin and Frank Riedel
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最新提交年份：
2014
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英文摘要：
We consider optimal consumption and portfolio choice in the presence of Knightian uncertainty in continuous-time. We embed the problem into the new framework of stochastic calculus for such settings, dealing in particular with the issue of non-equivalent multiple priors. We solve the problem completely by identifying the worst--case measure. Our setup also allows to consider interest rate uncertainty; we show that under some robust parameter constellations, the investor optimally puts all his wealth into the asset market, and does not save or borrow at all.
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中文摘要：
我们考虑连续时间内存在奈特不确定性时的最优消费和投资组合选择。我们将这个问题嵌入到这种情况下的随机演算的新框架中，特别是处理非等价多先验的问题。我们通过确定最坏的情况来彻底解决这个问题。我们的设置还允许考虑利率的不确定性；我们证明，在一些稳健的参数星座下，投资者将其所有财富最优地投入资产市场，并且根本不储蓄或借贷。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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