Worldwide Asset and Liability Modeling

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Format: Hardcover
Pub. Date: 1998-11-13
Publisher(s): Cambridge University Press
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Summary

The underlying theme of this volume is how to invest assets over time to achieve satisfactory returns subject to uncertainties, various constraints and liability commitments. Most investors, be they individuals or institutions, do not diversify properly across markets nor across time. 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. Other issues address the future of asset-liability management modeling. This includes models for individuals, and various financial institutions such as banks and insurance companies. This will lead to custom products, that is, financial engineering. All in all, this will be essential reading for all involved in analysing the financial markets.

Table of Contents

Acknowledgements viii(1)
List of contributors ix(4)
Preface xiii
William T. Ziemba
PART I. INTRODUCTION 3(38)
1. Asset and liability management systems for long-term investors: discussion of the issues
3(38)
John M. Mulvey
William T. Ziemba
PART II. STATIC PORTFOLIO ANALYSIS FOR ASSET ALLOCATION 41(46)
2. The importance of the asset allocation decision
41(12)
Chris R. Hensel
D. Don Ezra
John H. Ilkiw
3. The effect of errors in means, variances, and covariances on optimal portfolio choice
53(9)
Vijay K. Chopra
William T. Ziemba
4. Making superior asset allocation decisions: a practitioner's guide
62(25)
Chris R. Hensel
Andrew L. Turner
PART III. PERFORMANCE MEASUREMENT MODELS 87(62)
5. Attribution of performance and holdings
87(27)
Richard C. Grinold
Kelly A. Easton
6. National versus global influences on equity returns
114(15)
Stan Beckers
Gregory Connor
Ross Curds
7. A global stock and bond model
129(20)
Lucie Chaumeton
Gregory Connor
Ross Curds
PART IV. DYNAMIC PORTFOLIO MODELS FOR ASSET ALLOCATION 149(82)
8. On timing the market: the empirical probability assessment approach with an inflation adapter
149(33)
Robert R. Grauer
Nils Hakansson
9. Multiperiod asset allocation with derivative assets
182(23)
David R. Carino
Andrew L. Turner
10. The use of Treasury bill futures in strategic asset allocation programs
205(26)
Michael J. Brennan
Edwardo S. Schwartz
PART V. SCENARIO GENERATION PROCEDURES 231(84)
11. Barycentric approximation of stochastic interest rate processes
231(32)
Karl Frauendorfer
Michael Schurle
12. Postoptimality for scenario based financial planning models with an application to bond portfolio management
263(23)
Jitka Dupacova
Marida Bertocchi
Vittorio Moriggia
13. The Towers Perrin global capital market scenario generation system
286(29)
John M. Mulvey
A. Eric Thorlacius
PART VI. CURRENCY HEDGING AND MODELING TECHNIQUES 315(56)
14. An algorithm for international portfolio selection and optimal currency hedging
315(26)
Markus Rudolf
Heinz Zimmerman
15. Optimal insurance asset allocation in a multi-currency environment
341(30)
John C. Sweeney
Stephen M. Sonlin
Salvatore Correnti
Amy P. Williams
PART VII. DYNAMIC PORTFOLIO ANALYSIS WITH ASSETS AND LIABILITIES 371(190)
16. Optimal investment strategies for university endowment funds
371(26)
Robert C. Merton
17. Optimal consumption-investment decisions allowing for bankruptcy: a survey
397(30)
Suresh Sethi
18. Solving stochastic programming models for asset/liability management using iterative disaggregation
427(37)
Pieter Klaassen
19. The CALM stochastic programming model for dynamic asset-liability management
464(37)
Georgio Consigli
Michael A.H. Dempster
20. A dynamic model for asset liability management for defined benefit pension funds
501(36)
Cees Dert
21. Asset and liability management under uncertainty for fixed income securities
537(24)
Stavros A. Zenios
PART VIII. CASE STUDIES OF IMPLEMENTED ASSET-LIABILITY MANAGEMENT MODELS 561(48)
22. Modelling and management of assets and liabilities of pension plans in the Netherlands
561(20)
Guus C. E. Boender
Paul van Aalst
Fred Heemskerk
23. Integrated asset-liability management: an implementation case study
581(28)
Martin Holmer
PART IX. TOTAL INTEGRATIVE RISK MANAGEMENT MODELS 609
24. The Russell-Yasuda Kasai model: an asset/liability model for a Japanese insurance company using multistage stochastic programming
609(25)
David R. Carino
Terry Kent
David H. Myers
Celine Stacy
Michael Sylvanus
Andrew Turner
Kanji Watanabe
William T. Ziemba
25. The Home Account Advisor(TM): asset and liability management for individual investors
634
Adam J. Berger
John M. Mulvey

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