Intertemporal surplus management
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Publication:951511
DOI10.1016/S0165-1889(03)00058-7zbMath1179.91236OpenAlexW2034353397MaRDI QIDQ951511
Markus Rudolf, William T. Ziemba
Publication date: 24 October 2008
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0165-1889(03)00058-7
liabilitieslog utility functionItô process\(J\)-functionbetastate variablesafety firstshortfall riskassetHARA utility functionfunding ratiohedge portfoliointertemporal capital asset pricing modelsurplus management
Utility theory (91B16) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)
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