Optimal Comfortable Consumption under Epstein-Zin utility

We solve the optimal portfolio choice problem under Epstein--Zin utility with a time-varying consumption constraint, where closed-form expressions for neither the primal nor the dual value function are available.

We establish the dynamic programming principle for the value function and prove that it is a viscosity solution of the corresponding Hamilton--Jacobi--Bellman equation.

We further establish the $C^2$ regularity of the value function and derive a verification theorem using stochastic perturbation techniques.

Finally, we provide an explicit characterization of the constrained region.

The proposed methodology extends naturally to other constrained portfolio choice problems under the Epstein--Zin framework.