This paper introduces optimal expected utility (OEU) risk measures, investigates their main properties and puts them in …, OEU is the only existing utility-based risk measure that is (non-trivial and) coherent if the utility function u has …

We study continuous-time optimal consumption and investment with Epstein-Zin recursive preferences in incomplete …-Jacobi-Bellman equation by a fixed point argument and makes it possible to compute both indirect utility and, more importantly, optimal …