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Hedging in incomplete markets with HARA utility

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Listed:
  • Duffie, Darrell
  • Fleming, Wendell
  • Soner, H. Mete
  • Zariphopoulou, Thaleia

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  • Duffie, Darrell & Fleming, Wendell & Soner, H. Mete & Zariphopoulou, Thaleia, 1997. "Hedging in incomplete markets with HARA utility," Journal of Economic Dynamics and Control, Elsevier, vol. 21(4-5), pages 753-782, May.
  • Handle: RePEc:eee:dyncon:v:21:y:1997:i:4-5:p:753-782
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    References listed on IDEAS

    as
    1. Merton, Robert C., 1971. "Optimum consumption and portfolio rules in a continuous-time model," Journal of Economic Theory, Elsevier, vol. 3(4), pages 373-413, December.
    2. Darrell Duffie & Thaleia Zariphopoulou, 1993. "Optimal Investment With Undiversifiable Income Risk," Mathematical Finance, Wiley Blackwell, vol. 3(2), pages 135-148, April.
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