Feasibility and transversality conditions for models of portfolio choice with non-expected utility in continuous time

This note explores the feasibility and transversality conditions for the continuous-time consumption-portfolio problem with generalized isoelastic (GIE) preferences. Unlike the case of time-separable preferences, the transversality condition usually is neither necessary nor sufficient for the feasibility condition to be satisfied. Furthermore, ordinally equivalent representations of GIE preferences produce different transversality conditions.