Dynamic asset allocation with ambiguous return predictability
We study an investor's optimal consumption and portfolio choice problem when he is confronted with two possibly misspecified submodels of stock returns: one with IID returns and the other with predictability. We adopt a generalized recursive ambiguity model to accommodate the investor's av...
| Main Authors: | , , |
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| Other Authors: | |
| Format: | Article |
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Elsevier BV
2017
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| Online Access: | http://hdl.handle.net/1721.1/112939 https://orcid.org/0000-0001-9605-641X |