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> This ENTITY declaration:
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> <!ENTITY Set "&A; &B; &Set;">
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> says that a Set is an element of itself.
I think you've made a fundamental error here: because you've called your entity "Set", you're imagining that it is a set. But that's not the case. The entity is merely a character string. What you have actually defined here is a character string that contains itself as a substring. To handle this we have to cope with infinite character strings, which gives us practical programming problems, but doesn't lead to any mathematical paradoxes. The analogy with Russell's paradox is a false one, I think.
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Michael Kay
Saxonica