All wealth in assets is optimal under interest rate uncertainty

Qian Lin and Frank Riedel
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Qian Lin: Center for Mathematical Economics, Bielefeld University
Frank Riedel: Center for Mathematical Economics, Bielefeld University

No 711, Center for Mathematical Economics Working Papers from Center for Mathematical Economics, Bielefeld University

Abstract: This note shows that a long term investor who faces considerable Knightian uncertainty about the future evolution of interest rates optimally puts all his wealth into risky assets.

Keywords: Interest Rate Ambiguity; Optimal Portfolio Choice; Knightian Uncertainty; Model Uncertainty (search for similar items in EconPapers)
Pages: 15
Date: 2025-06-24
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https://pub.uni-bielefeld.de/download/3004628/3004629 First Version, 2019 (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:bie:wpaper:711

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