In this paper, we present a novel representation of a verification result for the equilibrium control law of a general class of portfolio problems where the standard dynamic programming principle does not hold. The novel representation provides simple and easy application of the theorem and we...

In this paper we propose a unified utility deviation-risk model which covers both utility maximization and mean-variance analysis as special cases. We derive the time-consistent Hamilton-Jacobi-Bellman (HJB) equation for the equilibrium value function and significantly reduce the number of state...