Before revision:  We derive explicit dynamics of the components for the optimal policy, and obtain an equation system for solving the shadow price of market incompleteness, which is found to be dependent on both market state and wealth level. We identify a new important hedge component for non-myopic investors to hedge the uncertainty in shadow price due to variation in wealth level. As an application, we establish and compare the decompositions of optimal policy under general models with the prevalent HARA and CRRA utilities. Under nonrandom but possibly time-varying interest rate, we solve in closed-form the HARA policy as a combination of a bond holding scheme and a corresponding CRRA strategy.
After revision:  The decomposition leads to implementation via either closed-form solutions or Monte Carlo simulations. With a nonrandom but time-varying interest rate, we solve in closed-form the HARA policy as a combination of a bond holding scheme and a corresponding CRRA strategy.