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Notes and Comments: Sup-convolutions of HARA utilities in the affine term structure. (2005). Grasselli, Martino.
In: Decisions in Economics and Finance.
RePEc:spr:decfin:v:28:y:2005:i:1:p:67-78.

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  1. 1. Deelstra, G., Grasselli, M., Koehl, P.-F. (2000): Optimal investment strategies in a CIR framework. Journal of Applied Probability 37, 936–946.

  2. 2. Duffie, D., Filipović, D., Schachermayer, W. (2003): Affine processes and applications in finance. The Annals of Applied Probability 13, 984–1053.
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  3. 3. Duffie, D., Kan, R. (1996): A yield-factor model of interest rates. Mathematical Finance 6, 379–406.
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  4. 4. Grasselli, M. (2003): A stability result for the HARA utility class with stochastic interest rates. Insurance: Mathematics and Economics 33, 611–627.

  5. 5. Karatzas, I., Shreve, S. (1998): Methods of mathematical finance. Springer: Berlin.
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