Kraft, Holger; Seifried, Frank; Steffensen, Mogens - In: Finance and Stochastics 17 (2013) 1, pp. 161-196
In an incomplete market, we study the optimal consumption-portfolio decision of an investor with recursive preferences of Epstein–Zin type. Applying a classical dynamic programming approach, we formulate the associated Hamilton–Jacobi–Bellman equation and provide a suitable verification...