Optimal consumption and portfolio choice with ambiguity and anticipation

@article{Fei2007OptimalCA,
  title={Optimal consumption and portfolio choice with ambiguity and anticipation},
  author={Weiyin Fei},
  journal={Inf. Sci.},
  year={2007},
  volume={177},
  pages={5178-5190}
}
This paper, adopting the recursive multiple-priors utility, studies the optimal consumption and portfolio choice in a Merton-style model with anticipation when there is a difference between ambiguity and risk. The fundamental issue is what the effects of ambiguity and anticipation on the investor’s behavior are. In the case of a logarithmic felicity function, the paper also shows that no hedging demand arises that is affected by both ambiguity and anticipation. Finally, the optimal portfolio is… CONTINUE READING

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