T. Ziemba / M. Mulvey (eds.)

Worldwide Asset and Liability Modeling

Herausgeber: Moffatt, H. K.; Ziemba, William T.; Mulvey, John M.

• Gebundenes Buch

Produktbeschreibung

Deals with areas at interface between finance and mathematics.

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Hinweis: Dieser Artikel kann nur an eine deutsche Lieferadresse ausgeliefert werden.

Produktdetails

• Verlag: Cambridge University Press
• Seitenzahl: 680
• Erscheinungstermin: 15. Mai 2004
• Englisch
• Abmessung: 235mm x 157mm x 44mm
• Gewicht: 1238g
• ISBN-13: 9780521571876
• ISBN-10: 0521571871
• Artikelnr.: 21531811

Inhaltsangabe

Part I. Introduction: 1. Asset and liability management systems for
long-term investors: discussion of the issues John M. Mulvey and William T.
Ziemba; Part II. Static Portfolio Analysis for Asset Allocation: 2. The
importance of the asset allocation decision Chris R. Hensel, D. Don Ezra
and John H. Ikliw; 3. The effect of errors in means, variances, and
covariances on optimal portfolio choice Vijay K. Chopra and William T.
Ziemba; 4. Making superior asset allocation decisions: a practitioner's
guide Chris R. Hensel and Andrew L. Turner; Part III. Performance
Measurement Models: 5. Attribution of performance and holdings Richard C.
Grinold and Kelly A. Easton; 6. National versus global influences on equity
returns Stan Beckers, Gregory Connor and Ross Curds; 7. A global stock and
bond model Lucie Chaumeton, Gregory Connor and Ross Curds; Part IV. Dynamic
Portfolio Models for Asset Allocation: 8. On timing the market: the
empirical probability assessment approach with an inflation adapter Robert
R. Grauer and Nils Hakansson; 9. Multiperiod asset allocation with
derivative assets David R. Carino and Andrew L. Turner; 10. The use of
Treasury bill futures in strategic asset allocation programs Michael J.
Brennan and Edwardo S. Schwartz; Part V. Scenario Generation Procedures:
11. Barycentric approximation of stochastic interest rate processes Karl
Frauendorfer and Michael Schürle; 12. Postoptimality for scenario based
financial planning models with an application to bond portfolio management
Jitka Dupacova, Marida Bertocchi and Vittorio Moriggia; 13. The Towers
Perrin global capital market scenario generation system John M. Mulvey and
A. Eric Thorlacius; Part VI. Currency Hedging and Modelling Techniques: 14.
An algorithm for international portfolio selection and optimal currency
hedging Markus Rudolf and Heinz Zimmerman; 15. Optimal insurance asset
allocation in a multi-currency environment John C. Sweeney, Steve Sonlin,
Salvatore Correnti and Amy P. Williams; Part VII. Dynamic Portfolio
Analysis with Assets and Liabilities: 16. Optimal investment strategies for
university endowment funds Robert C. Merton; 17. Optimal
consumption-investment decisions allowing for bankruptcy: a survey Suresh
Sethi; 18. Solving stochastic programming models for asset/liability
management using iterative disaggregation Pieter Klaassen; 19. The CALM
stochastic programming model for dynamic asset-liability management Georgio
Consigli and Michael A. H. Dempster; 20. A dynamic model for asset
liability management for defined benefit pension funds Cees Dert; 21. Asset
and liability management under uncertainty for fixed income securities
Stavros A. Zenios; Part VIII. Case Studies of Implemented Asset-liability
Management Models: 22. Modelling and management of assets and liabilities
of pension plans in The Netherlands Guus C. E. Boender, Paul van Aalst and
Fred Heemskerk; 23. Integrated asset-liability management: an
implementation case study Martin Holmer; Part IV. Total Integrated Risk
Management Models: 24. The Russell-Yasuda Kasai model: an asset/liability
model for a Japanese insurance company using multistage stochastic
programming David R. Carino, Terry Kent, David H. Myers, Celine Stacy,
Michael Sylvanus, Andrew Turner, Kanji Watanabe and William T. Ziemba; 25.
The home account advisor: asset and liability management for individual
investors Adam J. Berger and John M. Mulvey.