Summary In this paper we consider the problem of finding optimal consumption strategies in an incomplete semimartingale market model under model uncertainty. The quality of a consumption strategy is measured by not only one probability measure but as common in risk theory by a class of scenario...

SUMMARY The optimal risk allocation problem or equivalently the problem of risk sharing is the problem to allocate a risk in an optimal way to n traders endowed with risk measures ϱ 1 , …, ϱ n . This problem has a long history in mathematical economics and insurance. In the first part of the...