We consider the problem of optimal consumption for an investor who is risk and uncertainty avers. We model these … preferences of the investor with the help of a convex risk-measure. Apart from consumption the agent has the possibility to invest …

investment. The robust utility functionals are defined in terms of logarithmic utility and a dynamically consistent convex risk …

We consider the problem of optimal consumption for an investor who is risk and uncertainty avers. We model these … preferences of the investor with the help of a convex risk-measure. Apart from consumption the agent has the possibility to invest …