Before revision: This paper solves the optimal investment and consumption strategies for an ambiguity-averse agent in an incomplete financial market . The agent seeks her best and robust strategies via optimizing her robust forward investment and consumption preferences.
After revision: This paper solves the optimal investment and consumption strategies for an ambiguity-averse agent in an incomplete financial market with model uncertainty. The market incompleteness arises from investment constraints of the agent, while the model uncertainty stems from drift and volatility processes for risky stocks in the financial market. The agent seeks her best and robust strategies via optimizing her robust forward investment and consumption preferences.