Branger, Nicole; Larsen, Linda Sandris; Munk, Claus - In: Journal of Banking & Finance 37 (2013) 5, pp. 1397-1411
We analyze the optimal stock-bond portfolio under both learning and ambiguity aversion. Stock returns are predictable by an observable and an unobservable predictor, and the investor has to learn about the latter. Furthermore, the investor is ambiguity-averse and has a preference for investment...