Ferrari, Giorgio; Li, Hanwu; Riedel, Frank: Optimal Consumption with Intertemporal Substitution under Knightian Uncertainty. In: . Jg.641. 2020, S. 27 ff.
Inhalt
- Introduction
- The Knightian intertemporal utility maximization problem
- Existence and uniqueness of the optimal consumption plan
- Sufficient first-order conditions for optimality
- Time-consistency and structure of the optimal consumption plan
- Explicit solution in a stationary homogeneous setting
- Setting and main result
- On the proof of Theorem 6.2
- On the portfolio financing the optimal consumption plan
- Abstention from the asset marekt