Intertemporal surplus management

Journal of Economic Dynamics and Control

Volumn 28, Issue 5, 2004, Pages 975-990

  Rudolf, Markus ^a   Ziemba, William T ^b  

^a WHU OTTO BEISHEIM SCHOOL OF MANAGEMENT   (Germany)

^b UNIVERSITY OF BRITISH COLUMBIA   (Canada)

Author keywords

Asset; Beta; Funding ratio; HARA utility function; Hedge portfolio; Intertemporal capital asset pricing model; It process; J function; Liabilities; Log utility function; Safety first; Shortfall risk; State variable; Surplus management

Indexed keywords

EID: 0142169854     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0165-1889(03)00058-7     Document Type: Article

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