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Worldwide Asset and Liability Modeling

Worldwide Asset and Liability Modeling

$214.99

Part of Publications of the Newton Institute

John M. Mulvey, William T. Ziemba, Chris R. Hensel, D. Don Ezra, John H. Ikliw, Vijay K. Chopra, Andrew L. Turner, Richard C. Grinold, Kelly A. Easton, Stan Beckers, Gregory Connor, Ross Curds, Lucie Chaumeton, Robert R. Grauer, Nils Hakansson, David R. Carino, Michael J. Brennan, Edwardo S. Schwartz, Karl Frauendorfer, Michael Schürle, Jitka Dupacova, Marida Bertocchi, Vittorio Moriggia, A. Eric Thorlacius, Markus Rudolf, Heinz Zimmerman, John C. Sweeney, Steve Sonlin, Sal Correnti, Amy P. Williams, Robert C. Merton, Suresh Sethi, Pieter Klaassen, Georgio Consigli, Michael A. H. Dempster, Cees Dert, Stavros A. Zenios, Guus C. E. Boender, Paul van Aalst, Fred Heemskerk, Martin Holmer, Terry Kent, David H. Myers, Celine Stacy, Michael Sylvanus, Kanji Watanabe, Adam J. Berger
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  • Date Published: November 1998
  • availability: Available
  • format: Hardback
  • isbn: 9780521571876

$214.99
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About the Authors
  • This volume shows how to invest assets over time to achieve satisfactory returns subject to uncertainties, various constraints and liability commitments. The papers utilize several approaches and integrate a number of techniques as well as discussing a variety of models that have either been implemented, are close to being implemented or represent new innovative approaches that may lead to future novel applications, that is, financial engineering. This is essential reading for all involved in analyzing the financial markets.

    • Draws together major themes in subject
    • Combines empirical results with theoretical models
    • World's leading authorities
    Read more

    Reviews & endorsements

    "The combination of theoretical papers and practical discussions of actual asset/liability management (`ALM') models make for an appealing wealth of inforamtion bound in one volume. Unlike many treatments of ALM modeling problems --especially in the practitioner literature--this book has the strength of tackling a fairly technical in broad manner. The book should have great appeal to those whose responsibility it is to solve ALM modeling problems. In addition, it is an excellent introduction for those outside the field to both the strategic and the technical issues facing ALM modelers today." Financial Engineering News

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    Product details

    • Date Published: November 1998
    • format: Hardback
    • isbn: 9780521571876
    • length: 680 pages
    • dimensions: 229 x 152 x 41 mm
    • weight: 1.16kg
    • contains: 75 b/w illus. 50 tables
    • availability: Available
  • Table of Contents

    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.

  • Editors

    William T. Ziemba, University of British Columbia, Vancouver

    John M. Mulvey, Princeton University, New Jersey

    Contributors

    John M. Mulvey, William T. Ziemba, Chris R. Hensel, D. Don Ezra, John H. Ikliw, Vijay K. Chopra, Andrew L. Turner, Richard C. Grinold, Kelly A. Easton, Stan Beckers, Gregory Connor, Ross Curds, Lucie Chaumeton, Robert R. Grauer, Nils Hakansson, David R. Carino, Michael J. Brennan, Edwardo S. Schwartz, Karl Frauendorfer, Michael Schürle, Jitka Dupacova, Marida Bertocchi, Vittorio Moriggia, A. Eric Thorlacius, Markus Rudolf, Heinz Zimmerman, John C. Sweeney, Steve Sonlin, Sal Correnti, Amy P. Williams, Robert C. Merton, Suresh Sethi, Pieter Klaassen, Georgio Consigli, Michael A. H. Dempster, Cees Dert, Stavros A. Zenios, Guus C. E. Boender, Paul van Aalst, Fred Heemskerk, Martin Holmer, Terry Kent, David H. Myers, Celine Stacy, Michael Sylvanus, Kanji Watanabe, Adam J. Berger

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