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Hedging in incomplete markets with HARA utility

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Author Info
Duffie, Darrell
Fleming, Wendell
Soner, H. Mete
Zariphopoulou, Thaleia
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Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 21 (1997)
Issue (Month): 4-5 (May)
Pages: 753-782
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Handle: RePEc:eee:dyncon:v:21:y:1997:i:4-5:p:753-782

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  2. Julien Hugonnier & Dmitry Kramkov, 2004. "Optimal investment with random endowments in incomplete markets," Quantitative Finance Papers math/0405293, arXiv.org. [Downloadable!]
  3. Ricardo Caballero & Stavros Panageas, 2005. "A Quantitative Model of Sudden Stops and External Liquidity Management," NBER Working Papers 11293, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  4. Ken Sennewald & Klaus Wälde, 2006. "“Itô’s Lemma“ and the Bellman Equation for Poisson Processes: An Applied View," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
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  5. A.B. Berkelaar & R. Kouwenberg, 1999. "Retirement saving with contribution payments and labor income as a benchmark for investments," Econometric Institute Report 181, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
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  6. Sule Alan, 2004. "Precautionary Wealth and Portfolio Allocation: Evidence from Canadian Microdata," Social and Economic Dimensions of an Aging Population Research Papers 117, McMaster University. [Downloadable!]
  7. Erhan Bayraktar & Virginia R. Young, 2007. "Minimizing the Probability of Lifetime Ruin under Borrowing Constraints," Quantitative Finance Papers math/0703850, arXiv.org. [Downloadable!]
  8. Erhan Bayraktar & Virginia R. Young, 2007. "Proving Regularity of the Minimal Probability of Ruin via a Game of Stopping and Control," Quantitative Finance Papers 0704.2244, arXiv.org, revised Nov 2009. [Downloadable!]
  9. Claus Munk, 1997. "Optimal Consumption/Investment Policies with Undiversifiable Income Risk and Borrowing Constraints," Finance 9712003, EconWPA. [Downloadable!]
  10. Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein, 2005. "Portfolio Choice over the Life-Cycle in the Presence of 'Trickle Down' Labor Income," NBER Working Papers 11247, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  11. Jianjun Miao & Neng Wang, 2004. "Investment, Hedging, and Consumption Smoothing," Finance 0407014, EconWPA. [Downloadable!]
  12. Junjian Miao & Neng Wang, 2005. "Investment, Consumption and Hedging under Incomplete Markets," Boston University - Department of Economics - Macroeconomics Working Papers Series WP2005-011, Boston University - Department of Economics, revised Sep 2006. [Downloadable!]
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