A Stability Result for the HARA Class with Stochastic Interest Rates.

We study an investment problem in a continuous-time framework where the interest rates follow the Cox-Ingersoll-Ross and extended Vasicek dynamics.

Year of publication:	2000
Authors:	Grasselli, M.
Subject:	INTEREST RATE \| FINANCIAL MARKET \| MARKET STRUCTURE

Type of publication:	Book / Working Paper
Notes:	33 pages
Classification:	G11 - Portfolio Choice
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005641078