Kraft, Holger; Seiferling, Thomas; Seifried, Frank Thomas - 2016 - This version: May 31, 2016
We study continuous-time optimal consumption and investment with Epstein-Zin recursive preferences in incomplete markets. We develop a novel approach that rigorously constructs the solution of the associated Hamilton-Jacobi-Bellman equation by a fixed point argument and makes it possible to...