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2000-01-20Buch DOI: 10.18452/8223
Intertemporal Surplus Management
dc.contributor.authorRudolf, Markus
dc.contributor.authorZiemba, William T.
dc.contributor.editorHigle, Julie L.
dc.contributor.editorRömisch, Werner
dc.contributor.editorSen, Surrajeet
dc.date.accessioned2017-06-16T19:35:37Z
dc.date.available2017-06-16T19:35:37Z
dc.date.created2006-02-08
dc.date.issued2000-01-20
dc.date.submitted1999-10-18
dc.identifier.urihttp://edoc.hu-berlin.de/18452/8875
dc.description.abstractThis paper presents an intertemporal portfolio selection model for pension funds that maximize the intertemporal expected utility of the surplus of assets net of liabilities. Following Merton (1973) it is assumed that both the asset and the liability return follow Ito processes as functions of a state variable. The optimum occurs for investors holding four funds: the market portfolio, the hedge portfolio for the state variable, the hedge portfolio for the liabilities, and the riskless asset. It is shown that pension funds should purchase hedging for liabilities. In contrast to Merton's result in the assets only case, this hedge depends exclusively on the funding ratio of a specific pension fund and not on preferences. With HARA utility the investments in the state variable hedge portfolios are also preference independent. With log utility the market portfolio investment depends only on the current funding ratio.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik
dc.subjectAsseteng
dc.subjectBetaeng
dc.subjectFunding Ratioeng
dc.subjectHARA utility functioneng
dc.subjectHedge Portfolioeng
dc.subjectIntertemporal Capital Asset Pricing Modeleng
dc.subjectItô processeng
dc.subjectJ-functioneng
dc.subjectLiabilitieseng
dc.subjectLog utility functioneng
dc.subjectSafety Firsteng
dc.subjectShortfall riskeng
dc.subjectState variableeng
dc.subjectSurplus managementeng
dc.subject.ddc510 Mathematik
dc.titleIntertemporal Surplus Management
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10057396
dc.identifier.doihttp://dx.doi.org/10.18452/8223
local.edoc.container-titleStochastic Programming E-Print Series
local.edoc.pages19
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume1999
local.edoc.container-issue7
local.edoc.container-erstkatid2936317-2

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