We analyze the portfolio planning problem of an ambiguity averse investor. The stock follows a jump-diffusion process, and there is ambiguity about the drift of the stock and the intensity of jumps. The consequences of ambiguity with respect to jump and diffusion risk are by no means the same....

We analyze the optimal stock-bond portfolio under both learning and ambiguity aversion. Stock returns are predictable by an observable and an unobservable predictor, and the investor has to learn about the latter. Furthermore, the investor is ambiguity-averse and has a preference for investment...

We determine the optimal investment strategy for an ambiguity averse investor in a setting with stochastic interest rates. The investor is assumed to be ambiguous about the expected rate of return of both bonds and stocks, and may have different levels of ambiguity aversion about the two types...

The paper analyzes the robustness of stable volatility strategies, i.e. strategies in which the portfolio weight of the stock is inversely proportional to its local volatility. These strategies are optimal for a CRRA investor if the stock follows a diffusion process, the expected excess return...