Intertemporal surplus management

Journal of Economic Dynamics and Control - Tập 28 - Trang 975-990 - 2004
Markus Rudolf1, William T. Ziemba2
1WHU-Otto Beisheim Graduate School of Management, Dresdner Bank chair of Finance, Burgplatz 2, 56179 Vallendar, Germany
2Faculty of Commerce, University of British Columbia, 2053 Main Mall, Vancouver BC, Canada, V6T 1Z2

Tài liệu tham khảo

Adler, 1983, International portfolio choice and corporation finance, The Journal of Finance, 38, 925, 10.2307/2328091 Black, 1989, Should you use stocks to hedge your pension liability?, Financial Analysts Journal, 22, 10 Cariño, 1998, Formulation of the Russell Yasuda–Kasai financial planning model, Operations Research, 46, 433, 10.1287/opre.46.4.433 Constantinides, 1993, Comment, 236 Dixit, 1994 Ezra, 1991, Asset allocation by surplus optimization, Financial Analysts Journal, 24, 51, 10.2469/faj.v47.n1.51 Ingersoll, 1987 Merton, 1969, Lifetime portfolio selection under uncertainty, The Review of Economics and Statistics, 51, 247, 10.2307/1926560 Merton, 1971, Optimal consumption and portfolio rules in a continuous-time model, Journal of Economic Theory, 3, 373, 10.1016/0022-0531(71)90038-X Merton, 1973, An intertemporal capital asset pricing model, Econometrica, 41, 867, 10.2307/1913811 Merton, 1990 Merton, 1993, Optimal investment strategies for university endowment funds Richard, S.F., 1979. A generalized capital asset pricing model. In: Gruber, M.J., Elton, E.J. (Eds.), Portfolio Theory, 25 Years After. North-Holland, New York, pp. 215–232. Samuelson, 1969, Lifetime portfolio selection by dynamic stochastic programming, The Review of Economics and Statistics, 51, 239, 10.2307/1926559 Sharpe, 1964, Capital asset prices, The Journal of Finance, 19, 425, 10.2307/2977928 Sharpe, 1990, Liabilities—a new approach, The Journal of Portfolio Management, 17, 5, 10.3905/jpm.1990.409248 Ziemba, W.T., Mulvey, J.M. (Eds.) 1998. World Wide Asset and Liability Modeling. Cambridge University Press, Cambridge, MA.