In this paper we study a robust utility maximization problem in continuous time under model uncertainty. The model … characteristics are prescribed by a set-valued function that depends on time and path. We show that the robust utility maximization …

We analyze 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 consistent convex risk … factor process. Our main results give conditions on the minimal penalty function of the robust utility functional under which …