This paper explores the effect of homothetic model uncertainty on an agent's optimal consumption and portfolio choices with multiplicative habit formation. We solve the max-min expected utility problem to obtain the optimal consumption and portfolio rules. Detection error probabilities, which were calculated using Monte Carlo simulations, calibrate reasonable ambiguity aversion parameters. Results indicate that ambiguity leads to a more aggressive consumption strategy but more conservative investment choices and that the opposite effect is observed on the optimal decision between model uncertainty and habit formation. Notably, we find that the dynamics of investment are a mean-reverting process and that model uncertainty can increase this reversion rate. Furthermore, we discover a distinction between ambiguity and risk. The practical significance of this article is that it provides an alternative theoretical explanation for the excess sensitivity and smoothness puzzles of consumption from the perspective of ambiguity.

本文探讨了具有乘性习惯养成的同质模型不确定性对代理商最优消费和投资组合选择的影响。我们解决最大-最小期望效用问题，以获得最佳消耗和投资组合规则。使用蒙特卡洛模拟计算得出的检测错误概率可校准合理的歧义厌恶参数。结果表明，歧义导致更积极的消费策略，但投资选择更为保守，并且在模型不确定性和习惯形成之间的最佳决策上观察到相反的效果。值得注意的是，我们发现投资的动态是一个均值回复过程，模型不确定性会增加该回复率。此外，我们发现歧义与风险之间存在区别。