In an incomplete market we study the optimal consumption-portfolio decision of an investor with recursive preferences of Epstein-Zin type. Applying a classical dynamic programming approach, we formulate the associated Hamilton-Jacobi-Bellman equation and provide a suitable verification theorem....

Recursive utility disentangles preferences with respect to time and risk by recursively building up a value function of local increments. This involves certainty equivalents of indirect utility. Instead we disentangle preferences with respect to time and risk by building up a value function as a...

We establish a connection between continuous-time recursive utility and the notion of consistency studied, in particular, in connection with the non-linear objective mean-variance. We propose a time-global optimization problem and show that the optimal time-consistent solution to this...