  We consider optimal consumption and portfolio choice in the presence of
Knightian uncertainty in continuous-time. We embed the problem into the new
framework of stochastic calculus for such settings, dealing in particular with
the issue of non-equivalent multiple priors. We solve the problem completely by
identifying the worst--case measure. Our setup also allows to consider interest
rate uncertainty; we show that under some robust parameter constellations, the
investor optimally puts all his wealth into the asset market, and does not save
or borrow at all.
