Intertemporal surplus management
type: Item
instance of: scholarly article
title: Intertemporal surplus management
zbMATH Open document ID: 1179.91236
DOI: 10.1016/S0165-1889(03)00058-7
author: Markus Rudolf
author: William T. Ziemba
publication date: 2008-10-24T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 91B25
Mathematics Subject Classification ID: 91B16
zbMATH DE Number: 5356933
zbMATH Keywords: asset
zbMATH Keywords: beta
zbMATH Keywords: funding ratio
zbMATH Keywords: HARA utility function
zbMATH Keywords: hedge portfolio
zbMATH Keywords: intertemporal capital asset pricing model
zbMATH Keywords: Itô process
zbMATH Keywords: \(J\)-function
zbMATH Keywords: liabilities
zbMATH Keywords: log utility function
zbMATH Keywords: safety first
zbMATH Keywords: shortfall risk
zbMATH Keywords: state variable
zbMATH Keywords: surplus management
MaRDI profile type: Publication
cites work: Formulation of the Russell-Yasuda Kasai financial planning model
cites work: Optimum consumption and portfolio rules in a continuous-time model
cites work: An Intertemporal Capital Asset Pricing Model
cites work: Q4251867
full work available at URL: s0165-1889(03)00058-7
OpenAlex ID: W2034353397
published in: Journal of Economic Dynamics and Control
description: scientific article; zbMATH DE number 5356933