This paper studies the properties of the optimal portfolio-consumption strategies in a finite horizon robust utility maximization framework with different borrowing and lending rates. In particular, we allow for constraints on both investment and consumption strategies, and model uncertainty on both drift and volatility. With the help of explicit solutions, we quantify the impacts of uncertain market parameters, portfolio-consumption constraints and borrowing costs on the optimal strategies and their time monotone properties.

中文翻译：

---

参数和借贷成本不确定的受限投资组合消费策略

本文研究了具有不同借贷利率的有限水平鲁棒效用最大化框架下最优投资组合消费策略的性质。特别是，我们允许对投资和消费策略都进行约束，并对漂移和波动率的不确定性进行建模。借助明确的解决方案，我们可以量化不确定的市场参数，投资组合消费约束和借贷成本对最优策略及其时间单调属性的影响。