Faria, Gonçalo; Correia-da-Silva, João - Faculdade de Economia, Universidade do Porto - 2012
to assess if this continues to be true in the presence of ambiguity. Adopting robust control and perturbation theory … techniques, we study the problem of a long-horizon investor with recursive preferences that faces ambiguity about the stochastic … processes that generate the investment opportunity set. We find that ambiguity impacts portfolio choice, with the relevant …