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 …

We characterize optimal consumption policies in a recursive intertemporal utility framework with local substitution. We … establish existence and uniqueness and a version of the Kuhn-Tucker theorem characterizing the optimal consumption plan. An …

consumption problem, proving the existence and uniqueness of the optimal consumption plan. We present an infinite … investigate quantitative properties and the construction of the optimal consumption plan. Finally, we offer a detailed description … of the structure of optimal consumption within a geometric Poisson framework. …

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 …

This paper studies a consumption-portfolio problem where money enters the agent's utility function. We solve the … corresponding Hamilton-Jacobi-Bellman equation and provide closed-form solutions for the optimal consumption and portfolio strategy …