Acknowledgements |
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viii | (1) |
List of contributors |
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ix | (4) |
Preface |
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xiii | |
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PART I. INTRODUCTION |
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3 | (38) |
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1. Asset and liability management systems for long-term investors: discussion of the issues |
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3 | (38) |
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PART II. STATIC PORTFOLIO ANALYSIS FOR ASSET ALLOCATION |
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41 | (46) |
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2. The importance of the asset allocation decision |
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41 | (12) |
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3. The effect of errors in means, variances, and covariances on optimal portfolio choice |
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53 | (9) |
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4. Making superior asset allocation decisions: a practitioner's guide |
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62 | (25) |
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PART III. PERFORMANCE MEASUREMENT MODELS |
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87 | (62) |
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5. Attribution of performance and holdings |
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87 | (27) |
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6. National versus global influences on equity returns |
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114 | (15) |
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7. A global stock and bond model |
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129 | (20) |
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PART IV. DYNAMIC PORTFOLIO MODELS FOR ASSET ALLOCATION |
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149 | (82) |
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8. On timing the market: the empirical probability assessment approach with an inflation adapter |
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149 | (33) |
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9. Multiperiod asset allocation with derivative assets |
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182 | (23) |
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10. The use of Treasury bill futures in strategic asset allocation programs |
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205 | (26) |
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PART V. SCENARIO GENERATION PROCEDURES |
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231 | (84) |
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11. Barycentric approximation of stochastic interest rate processes |
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231 | (32) |
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12. Postoptimality for scenario based financial planning models with an application to bond portfolio management |
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263 | (23) |
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13. The Towers Perrin global capital market scenario generation system |
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286 | (29) |
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PART VI. CURRENCY HEDGING AND MODELING TECHNIQUES |
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315 | (56) |
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14. An algorithm for international portfolio selection and optimal currency hedging |
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315 | (26) |
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15. Optimal insurance asset allocation in a multi-currency environment |
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341 | (30) |
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PART VII. DYNAMIC PORTFOLIO ANALYSIS WITH ASSETS AND LIABILITIES |
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371 | (190) |
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16. Optimal investment strategies for university endowment funds |
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371 | (26) |
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17. Optimal consumption-investment decisions allowing for bankruptcy: a survey |
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397 | (30) |
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18. Solving stochastic programming models for asset/liability management using iterative disaggregation |
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427 | (37) |
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19. The CALM stochastic programming model for dynamic asset-liability management |
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464 | (37) |
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20. A dynamic model for asset liability management for defined benefit pension funds |
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501 | (36) |
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21. Asset and liability management under uncertainty for fixed income securities |
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537 | (24) |
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PART VIII. CASE STUDIES OF IMPLEMENTED ASSET-LIABILITY MANAGEMENT MODELS |
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561 | (48) |
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22. Modelling and management of assets and liabilities of pension plans in the Netherlands |
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561 | (20) |
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23. Integrated asset-liability management: an implementation case study |
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581 | (28) |
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PART IX. TOTAL INTEGRATIVE RISK MANAGEMENT MODELS |
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24. The Russell-Yasuda Kasai model: an asset/liability model for a Japanese insurance company using multistage stochastic programming |
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609 | (25) |
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25. The Home Account Advisor(TM): asset and liability management for individual investors |
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634 | |
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