Risk-sensitive control and an optimal investment model

We consider an optimal investment model in which the goal is to maximize th e long-term growth rate of expected utility of wealth. In the model, the me an returns of the securities are explicitly affected by the underlying econ omic factors. The utility function is HARA. The problem is reformulated as an infinite time horizon risk-sensitive control problem. We study the dynam ic programming equation associated with this central problem and derive som e consequences of the investment problem.