Robust consumption portfolio optimization with stochastic differential utility

This paper examines a continuous time intertemporal consumption and portfolio choice problem with stochastic differential utility preference of Epstein–Zin type for robust investor, who worries about model misspecification seeks decision rules. We provide verification theorem which formulates the Hamilton–Jacobi–Bellman–Isaacs equation under non-Lipschitz condition. Then, theorem, explicit closed-form optimal solutions to Heston are given. Also we compare our non-robust ones, comparisons shown in few figures coincide common sense.