Facoltà di scienze economiche

## A note on robustness in Merton's model of intertemporal consumption

### Trojani, Fabio ; Vanini, Paolo

The paper presents a robust version of a simple two-assets Merton's (1969) model where the optimal choices and the implied shadow market prices of risk for a representative robust decision maker (RDM) can be easily described. With the exeption of the log utility case, precautionary behaviour is induced in the optimal consumption-investment rules through a substitution of investment in risky... More