Robust portfolio selection has become a popular problem in recent years. In this paper, we study the optimal investment problem for an individual who carries a constant consumption rate but worries about the model ambiguity of the financial market. Instead of using a conventional value function such as the utility of terminal wealth maximization, here, we focus on the purpose of risk control and seek to minimize the probability of lifetime ruin. This study is motivated by the work of [3], except that we use a standardized penalty for ambiguity aversion. The reason for taking a standardized penalty is to convert the penalty to units of the value function, which makes the difference meaningful in the definition of the value function. The advantage of taking a standardized penalty is that the closed-form solutions to both the robust investment policy and the value function can be obtained. More interestingly, we use the "Ambiguity Derived Ratio" to characterize the existence of model ambiguity which significantly affects the optimal investment policy. Finally, several numerical examples are given to illustrate our results.

中文翻译：

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为个人提供可靠的投资组合选择：将终生破产的可能性降至最低

近年来，稳健的投资组合选择已成为一个普遍的问题。在本文中，我们研究了一个拥有固定消费率但担心金融市场模型含糊不清的个人的最优投资问题。在这里，我们不使用常规的价值函数（例如，终端财富最大化的效用），而是着眼于风险控制的目的，力求将生命周期毁灭的可能性降至最低。这项研究是受[3]，不同之处在于我们对歧义厌恶使用标准化惩罚。进行标准化惩罚的原因是将惩罚转换为值函数的单位，这使得差异对值函数的定义有意义。进行标准化惩罚的优势在于，可以获得针对稳健投资策略和价值函数的封闭式解决方案。更有趣的是，我们使用“歧义派生比率”来表征模型歧义的存在，该歧义显着影响最优投资政策。最后，给出了几个数值示例来说明我们的结果。