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Worldwide asset and liability modeling

Worldwide asset and liability modeling (1회 대출)

자료유형
단행본
개인저자
Ziemba, W. T. Mulvey, J. M. (John M.).
단체저자명
Isaac Newton Institute for Mathematical Sciences.
서명 / 저자사항
Worldwide asset and liability modeling / edited by William T. Ziemba and John M. Mulvey.
발행사항
Cambridge, United Kingdom ;   New York, NY, USA :   Cambridge University Press,   1998.  
형태사항
xiv, 665 p. : ill. ; 24 cm.
총서사항
Publications of the Newton Institute ;10.
ISBN
0521571871
일반주기
Papers presented at the Financial Mathematics Seminar held at the Newton Institute from Jan. to June 1995.  
서지주기
Includes bibliographical references.
일반주제명
Asset allocation --Mathematical models. Investments --Mathematical models. Asset-liability management --Mathematical models.
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010 ▼a 99172050
020 ▼a 0521571871
040 ▼a Uk ▼c DLC ▼d UKM ▼d IBS ▼d 244002
049 0 ▼l 151072134
050 0 0 ▼a HG4529.5 ▼b .W67 1998
082 0 4 ▼a 332.60151 ▼2 21
090 ▼a 332.60151 ▼b W927
245 0 0 ▼a Worldwide asset and liability modeling / ▼c edited by William T. Ziemba and John M. Mulvey.
260 ▼a Cambridge, United Kingdom ; ▼a New York, NY, USA : ▼b Cambridge University Press, ▼c 1998.
300 ▼a xiv, 665 p. : ▼b ill. ; ▼c 24 cm.
440 0 0 ▼a Publications of the Newton Institute ; ▼v 10.
500 ▼a Papers presented at the Financial Mathematics Seminar held at the Newton Institute from Jan. to June 1995.
504 ▼a Includes bibliographical references.
650 0 ▼a Asset allocation ▼x Mathematical models.
650 0 ▼a Investments ▼x Mathematical models.
650 0 ▼a Asset-liability management ▼x Mathematical models.
700 1 ▼a Ziemba, W. T.
700 1 ▼a Mulvey, J. M. ▼q (John M.).
710 2 ▼a Isaac Newton Institute for Mathematical Sciences.
711 2 ▼a Mathematical Finance Programme ▼d (1995 : ▼c Isaac Newton Institute for Mathematical Sciences)

소장정보

No. 소장처 청구기호 등록번호 도서상태 반납예정일 예약 서비스
No. 1 소장처 세종학술정보원/사회과학실/ 청구기호 332.60151 W927 등록번호 151072134 도서상태 대출가능 반납예정일 예약 서비스 C M

컨텐츠정보

목차

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 Schurle; 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.


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