Before revision:  A robust consumption-investment problem is studied as an empirical application and some connections are drawn with the literature on macroeconomic uncertainty.
After revision:  The result also allows convergence rates of estimators to be characterized. An empirical application studies an endowment economy where the DM's benchmark model may be interpreted as an aggregate of experts' forecasting models. The application reveals time-variation in the way the DM pessimistically distorts benchmark probabilities. Consequences for asset pricing are explored and connections are drawn with the literature on macroeconomic uncertainty.