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Erscheinungsjahr: 
2020
Schriftenreihe/Nr.: 
Center for Mathematical Economics Working Papers No. 641
Verlag: 
Bielefeld University, Center for Mathematical Economics (IMW), Bielefeld
Zusammenfassung: 
We study an intertemporal consumption and portfolio choice problem under Knightian uncertainty in which agent's preferences exhibit local intertemporal substitution. We also allow for market frictions in the sense that the pricing functional is nonlinear. We prove existence and uniqueness of the optimal consumption plan, and we derive a set of sufficient first-order conditions for optimality. With the help of a backward equation, we are able to determine the structure of optimal consumption plans. We obtain explicit solutions in a stationary setting in which the financial market has different risk premia for short and long positions.
Schlagwörter: 
Hindy-Huang-Kreps preferences
Knightian uncertainty
g-expectation
ambiguityaversion
singular stochastic control
JEL: 
C61
D11
D81
G11
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Dokumentart: 
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