Deals with areas at interface between finance and mathematics.
Inhaltsverzeichnis
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.
