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math.OC2020
Optimal Consumption with Intertemporal Substitution under Knightian Uncertainty
Giorgio Ferrari, Hanwu Li, Frank Riedel
We study an intertemporal consumption and portfolio choice problem under Knightian uncertainty in which agent's preferences exhibit local intertemporal substitution. We also allow…
math.OC2020
A Knightian Irreversible Investment Problem
Giorgio Ferrari, Hanwu Li, Frank Riedel
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…