Intertemporal surplus management

DOI10.1016/S0165-1889(03)00058-7MaRDI QIDQ951511zbMATH OpenOpenAlexFDO

Authors Markus Rudolf, William T. Ziemba

Publication date 24 October 2008

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0165-1889(03)00058-7

zbMATH Keywords

\(J\)-functionbetastate variablesafety firstshortfall riskassetHARA utility functionfunding ratiohedge portfoliointertemporal capital asset pricing modelliabilitieslog utility functionsurplus managementItô process

Mathematics Subject Classification ID

Portfolio theory (91G10) Utility theory (91B16) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Recommendations

• Intertemporal surplus management with jump risks
• Optimal investment decisions with a liability: the case of defined benefit pension plans
• Optimal pension management in a stochastic framework.
• Portfolio selection with liability and affine interest rate in the HARA utility framework
• Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates

Cites work

• scientific article; zbMATH DE number 1304954 (Why is no real title available?)
• An Intertemporal Capital Asset Pricing Model
• Formulation of the Russell-Yasuda Kasai financial planning model
• Optimum consumption and portfolio rules in a continuous-time model

Cited in

(16)

• Dynamic asset-liability management in a Markov market with stochastic cash flows
• Scenario optimization asset and liability modelling for individual investors
• Improving the performance of evolutionary algorithms: a new approach utilizing information from the evolutionary process and its application to the fuzzy portfolio optimization problem
• Optimal investment strategy for asset-liability management under the Heston model
• Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases
• Optimal investment strategies for participating contracts
• Dynamic asset liability management with tolerance for limited shortfalls
• Inter‐temporal mutual‐fund management
• Spectral decomposition of optimal asset-liability management
• Intertemporal surplus management with jump risks
• The role of longevity bonds in optimal portfolios
• Does surplus/deficit sharing increase risk-taking in a corporate defined benefit pension plan?
• Dynamic surplus optimization with performance- and index-linked liabilities
• Optimal dynamic asset-liability management with stochastic interest rates and inflation risks
• Optimal dividend policy and stock prices
• Jump-diffusion asset-liability management via risk-sensitive control

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