Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/203276
Authors: 
Kraft, Holger
Seiferling, Thomas
Seifried, Frank Thomas
Year of Publication: 
2016
Series/Report no.: 
SAFE Working Paper 52
Abstract: 
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 compute both indirect utility and, more importantly, optimal strategies. Based on these results, we also establish a fast and accurate method for numerical computations. Our setting is not restricted to affine asset price dynamics; we only require boundedness of the underlying model coefficients.
Subjects: 
consumption-portfolio choice
asset pricing
stochastic di erential utility
incomplete markets
fixed point approach
FBSDE
JEL: 
G11
G12
D52
D91
C61
C68
Persistent Identifier of the first edition: 
Document Type: 
Working Paper
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