We study a robust consumption-investment problem with retirement and life insurance decisions for an agent who is 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...

Consider robust utility maximization with an irreversible consumption habit, where an agent concerned about model ambiguity is unwilling to decrease consumption and must simultaneously contend with a disutility (i.e., an adjustment cost) due to a consumption increase. While the optimization is a...