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A stability result for the HARA class with stochastic interest rates

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  • Grasselli, Martino
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    File URL: http://www.sciencedirect.com/science/article/B6V8N-4B3F5XY-8/2/a92fce2eb5bdb5194e086ba795573422
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    Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

    Volume (Year): 33 (2003)
    Issue (Month): 3 (December)
    Pages: 611-627

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    Handle: RePEc:eee:insuma:v:33:y:2003:i:3:p:611-627

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    Web page: http://www.elsevier.com/locate/inca/505554

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    1. Harrison, J. Michael & Pliska, Stanley R., 1981. "Martingales and stochastic integrals in the theory of continuous trading," Stochastic Processes and their Applications, Elsevier, vol. 11(3), pages 215-260, August.
    2. Richard Rouge & Nicole El Karoui, 2000. "Pricing Via Utility Maximization and Entropy," Mathematical Finance, Wiley Blackwell, vol. 10(2), pages 259-276.
    3. Cox, John C. & Huang, Chi-fu, 1989. "Optimal consumption and portfolio policies when asset prices follow a diffusion process," Journal of Economic Theory, Elsevier, vol. 49(1), pages 33-83, October.
    4. Boulier, Jean-Francois & Huang, ShaoJuan & Taillard, Gregory, 2001. "Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund," Insurance: Mathematics and Economics, Elsevier, vol. 28(2), pages 173-189, April.
    5. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 53(2), pages 385-407, March.
    6. Griselda Deelstra & Martino Grasselli & Pierre-François Koehl, 2000. "Optimal investment strategies in a CIR framework," ULB Institutional Repository 2013/7594, ULB -- Universite Libre de Bruxelles.
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    Cited by:
    1. Munk, Claus, 2008. "Portfolio and consumption choice with stochastic investment opportunities and habit formation in preferences," Journal of Economic Dynamics and Control, Elsevier, vol. 32(11), pages 3560-3589, November.
    2. Martino Grasselli, 2005. "Notes and Comments: Sup-convolutions of HARA utilities in the affine term structure," Decisions in Economics and Finance, Springer, vol. 28(1), pages 67-78, 06.
    3. Niu, Liqun, 2008. "Some stability results of optimal investment in a simple Lévy market," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 445-452, February.
    4. Jung, Eun Ju & Kim, Jai Heui, 2012. "Optimal investment strategies for the HARA utility under the constant elasticity of variance model," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 667-673.

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