We anlyze the stochastic control approach to the dynamic maximization of the robust utility of consumption and investment. The robust utility functionals are defined in terms of logarithmic utility and a dynamically consisten convex risk measure. The underlying market is modeled by a diffusion...

We give an explicit PDE characterization for the solution of the problem of maximizing the utility of both terminal wealth and intertemporal consumption under model uncertainty. The underlying market model consists of a risky asset, whose volatility and long-term trend are driven by an external...

This paper studies the problem of optimal investment with CRRA (constant, relative risk aversion) preferences, subject to dynamic risk constraints on trading strategies. The market model considered is continuous in time and incomplete; furthermore, financial assets are modeled by Itô processes....

We consider the optimal policy problem of a benevolent planner, who is uncertain about an individual's true preferences because of inconsistencies in revealed preferences across behavioral frames. We adapt theories of expected utility maximization and ambiguity aversion to characterize the...

We consider social decisions under uncertainty. We show that the ex ante social preference order satisfies a Pareto axiom with respect to ex ante individual preferences, along with an axiom of Statewise Dominance, if and only if all agents admit subjective expected utility (SEU) representations,...