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Notes and Comments: Sup-convolutions of HARA utilities in the affine term structure

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  • Martino Grasselli

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  • Martino Grasselli, 2005. "Notes and Comments: Sup-convolutions of HARA utilities in the affine term structure," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 28(1), pages 67-78, June.
    • Handle: RePEc:spr:decfin:v:28:y:2005:i:1:p:67-78
    DOI: 10.1007/s10203-005-0054-9
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    References listed on IDEAS

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    1. 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.
    2. Grasselli, Martino, 2003. "A stability result for the HARA class with stochastic interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 33(3), pages 611-627, December.
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