investor's ambiguity aversion. To characterize the robust portfolios, we consider closed-loop equilibrium control and spike …-loop framework, we show that when there is no ambiguity, our equilibrium strategy is reduced to the strategy in Björk et al. (2014 …

Consider a robust consumption-investment problem for a risk- and ambiguity-averse investor who is concerned about … return ambiguity in risky asset prices. When the investor aims to maximize the worst-case scenario of his/her consumption …-investment objective, we propose a dual approach to the robust optimization problem in a dual economy with risk ambiguity. Using the G …

Consider a robust retirement decision problem for a risk- and ambiguity-averse investor concerned about return … ambiguity in risky asset prices. When the investor aims to maximize the worst-case scenario of his/her utility derived from … consumption and bequest, we propose an optimal G-stopping approach to the robust optimization in a dual space with risk ambiguity …

concerned about inflation risk and model ambiguity. Assuming that an inflation-linked index bond and a stock are available in … the market, this paper considers a comprehensive setup of ambiguity in the return, volatility, and correlation parameters … extensively investigate the effects of ambiguity from different sources on the robust decisions. While model ambiguity generally …