Optimal consumption and portfolio choice with ambiguous interest rates and volatility
研究了利率存在奈特不确定性时的连续时间消费与投资组合选择问题，发现当利率不确定性足够大时，投资者会只投资股票市场而避开债券市场。
Abstract We study continuous-time consumption and portfolio choice in the presence of Knightian uncertainty about interest rates. We develop the stochastic model that involves singular priors and analyze optimal behavior. When there is sufficiently large uncertainty about interest rates, the agent invests in the asset market only and abstains from the bond market.