Robust utility maximization in a stochastic factor model

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Robust Preferences and Robust Portfolio Choice (2009, methodology): “3 below hold also for the robust optimization of consumption-investment strategies; see HERNÁNDEZ-HERNÁNDEZ and SCHIED [2007b].”
Risk minimizing portfolios and HJBI equations for stochastic differential games (2008, background): “See also [11,14,15,22,28,31] for papers of related interest.”
Risk Measures and Robust Optimization Problems (2006, background): “Hernández–Hernández and Schied[42] use duality combined with partial differential equations to characterize the value function of a robust utility problem as the unique bounded classical solution of a nonlinear Hamilton–Jacobi–Bellman equation.”
A control approach to robust utility maximization with logarithmic utility and time-consistent penalties (2007, methodology): “Optimal investment problems for robust utility functionals (1) were considered by, among others, Talay and Zheng [29], Quenez [23], Schied [24,25], Burgert and Rüschendorf [5], Schied and Wu [27], Föllmer and Gundel [10], and the authors [15].”