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Worldwide asset and liability modeling

Worldwide asset and liability modeling (Loan 1 times)

Material type
단행본
Personal Author
Ziemba, W. T. Mulvey, J. M. (John M.).
Corporate Author
Isaac Newton Institute for Mathematical Sciences.
Title Statement
Worldwide asset and liability modeling / edited by William T. Ziemba and John M. Mulvey.
Publication, Distribution, etc
Cambridge, United Kingdom ;   New York, NY, USA :   Cambridge University Press,   1998.  
Physical Medium
xiv, 665 p. : ill. ; 24 cm.
Series Statement
Publications of the Newton Institute ;10.
ISBN
0521571871
General Note
Papers presented at the Financial Mathematics Seminar held at the Newton Institute from Jan. to June 1995.  
Bibliography, Etc. Note
Includes bibliographical references.
Subject Added Entry-Topical Term
Asset allocation --Mathematical models. Investments --Mathematical models. Asset-liability management --Mathematical models.
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005 19991115105726.0
008 981109s1998 enka b 000 0 eng d
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)

Holdings Information

No. Location Call Number Accession No. Availability Due Date Make a Reservation Service
No. 1 Location Sejong Academic Information Center/Social Science/ Call Number 332.60151 W927 Accession No. 151072134 Availability Available Due Date Make a Reservation Service C

Contents information

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 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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