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A stability result for the HARA class with stochastic interest rates · Study

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ArticleA stability result for the HARA class with stochastic interest rates

Martino Grasselli2003

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Articlegreen2003

A stability result for the HARA class with stochastic interest rates

Martino Grasselli

39 citations·0/0 files stored·Insurance Mathematics and Economics

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Stochastic processes and financial applications Risk and Portfolio Optimization Probability and Risk Models

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References

1985A Theory of the Term Structure of Interest Rates 2007Brownian Motion and Stochastic Calculus 1977An equilibrium characterization of the term structure 1971Optimum consumption and portfolio rules in a continuous-time model 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case 1981Martingales and stochastic integrals in the theory of continuous trading 1990Pricing Interest-Rate-Derivative Securities 1998Methods of Mathematical Finance

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2016Optimal consumption–investment strategy under the Vasicek model: HARA utility and Legendre transform

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Year2003

Typearticle

Published2003-12-01

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations39

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.insmatheco.2003.09.003

openalex_workW1968112398

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