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Intertemporal surplus management

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  • Rudolf, Markus
  • Ziemba, William T.
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    File URL: http://www.sciencedirect.com/science/article/B6V85-48NX8PP-1/2/88b9c9f5995e9edbab6bb361629e3edc
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

    Volume (Year): 28 (2004)
    Issue (Month): 5 (February)
    Pages: 975-990

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    Handle: RePEc:eee:dyncon:v:28:y:2004:i:5:p:975-990

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    Web page: http://www.elsevier.com/locate/jedc

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    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Robert C. Merton, 1991. "Optimal Investment Strategies for University Endowment Funds," NBER Working Papers 3820, National Bureau of Economic Research, Inc.
    2. Adler, Michael & Dumas, Bernard, 1983. " International Portfolio Choice and Corporation Finance: A Synthesis," Journal of Finance, American Finance Association, vol. 38(3), pages 925-84, June.
    3. Samuelson, Paul A, 1969. "Lifetime Portfolio Selection by Dynamic Stochastic Programming," The Review of Economics and Statistics, MIT Press, vol. 51(3), pages 239-46, August.
    4. Merton, Robert C, 1973. "An Intertemporal Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 41(5), pages 867-87, September.
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    Cited by:
    1. John Board & Charles Sutcliffe, 2005. "Joined-Up Pensions Policy in the UK: An Asset-Libility Model for Simultaneously Determining the Asset Allocation and Contribution Rate," ICMA Centre Discussion Papers in Finance icma-dp2005-11, Henley Business School, Reading University.
    2. Francesco Menoncin, 2006. "The role of longevity bonds in optimal portfolios," Working Papers 0601, University of Brescia, Department of Economics.
    3. Decamps, Marc & De Schepper, Ann & Goovaerts, Marc, 2009. "Spectral decomposition of optimal asset-liability management," Journal of Economic Dynamics and Control, Elsevier, vol. 33(3), pages 710-724, March.
    4. Muck, Matthias, 2010. "Trading strategies with partial access to the derivatives market," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1288-1298, June.
    5. Andrew Ang & Bingxu Chen & Suresh Sundaresan, 2013. "Liability Investment with Downside Risk," NBER Working Papers 19030, National Bureau of Economic Research, Inc.
    6. Katarzyna Romaniuk, 2007. "The optimal asset allocation of the main types of pension funds: a unified framework," The Geneva Papers on Risk and Insurance Theory, Springer, vol. 32(2), pages 113-128, December.
    7. Detemple, Jérôme & Rindisbacher, Marcel, 2008. "Dynamic asset liability management with tolerance for limited shortfalls," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 281-294, December.
    8. Trond Døskeland, 2007. "Strategic asset allocation for a country: the Norwegian case," Financial Markets and Portfolio Management, Springer, vol. 21(2), pages 167-201, June.

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