Ambiguity, also called Knightian or model uncertainty, is a key feature in financial modeling. A recent paper by Maccheroni et al. (2004) characterizes investor preferences under aversion against both risk and ambiguity. Their result shows that these preferences can be numerically represented in...

The thesis considers an investor's problem of optimal consumption and portfolio choice in a financial market. The model used for the financial market is the semimartingales model. The thesis shows that an optimal solution to this problem exists, even if the investor is contrained in the...