This paper examines a continuous-time intertemporal consumption and portfolio choice problem for an investor with Du e and Epstein (1992a)'s recursive preferences who worries about model misspecification (model uncertainty) and wants to seek robust decision rules. The expected excess return of a...

I develop a stochastic growth model with production where there is a hidden state governing productivity growth regimes, and the hidden state evolves according to a Markov chain. Economic agents learn about the hidden state and display ambiguity aversion in the spirit of Klibanoff et al. (2005)....