• Optimal Consumption and Investment with Epstein-Zin Recursive Utility 

      Kraft, Holger; Seiferling, Thomas; Seifried, Frank Thomas (2016-07-04)
      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-Jac ...