We study continuous-time optimal consumption and investmentwith Epstein-Zin recursive preferences in incomplete markets. We developa novel approach that rigorously constructs the solution of the associatedHamilton-Jacobi-Bellman equation by a fixed point argument and makes itpossible to compute both indirect utility and, more importantly, optimalstrategies. Based on these results, we also establish a fast and accurate methodfor numerical computations. Our setting is not restricted to affine asset pricedynamics; we only require boundedness of the underlying model coefficients.
SAFE Working Paper No. 52
