This paper investigates robust consumption and portfolio rules for an Epstein-Zin type investor who concerns about model misspecifiation. Different from Maenhout (2004), we employ a new state variable, continuation entropy, as a measure of the magnitude of the investor's ambiguity aversion...

Integrating a Value-at-Risk constraint on a fund manager's wealth and ambiguity, we present a model of optimal portfolio choice for a fund manager who allocates her wealth between risky and riskless assets. When a fund manager controls asset composition, her reactions di er with respect to an...