In this article, we consider the optimal investment-consumption problem for an agent with preferences governed by Epstein-Zin stochastic differential utility who invests in a constant-parameter Black-Scholes-Merton market.The paper has three main goals: first, to provide a detailed introduction...

In this article we consider the infinite-horizon Merton investment-consumption problem in a constant-parameter Black-Scholes-Merton market for an agent with constant relative risk aversion R. The classical primal approach is to write down a candidate value function and to use a verification...

In this note we ask when Epstein-Zin-Weil (EZW) recursive utility over the infinite horizon is well-founded. EZW recursive utility has a parameter $\gamma 0$ representing risk aversion and a parameter $\psi 0$ representing intertemporal elasticity of substitution, and is an extension of...