著者紹介

内容

目次

Part I. Introduction: 1. Asset and liability management systems forlong-term investors: discussion of the issues John M. Mulvey and William T.Ziemba; Part II. Static Portfolio Analysis for Asset Allocation: 2. Theimportance of the asset allocation decision Chris R. Hensel, D. Don Ezra andJohn H. Ikliw; 3. The effect of errors in means, variances, and covarianceson optimal portfolio choice Vijay K. Chopra and William T. Ziemba; 4. Makingsuperior asset allocation decisions: a practitioner's guide Chris R. Henseland 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 LucieChaumeton, Gregory Connor and Ross Curds; Part IV. Dynamic Portfolio Modelsfor Asset Allocation: 8. On timing the market: the empirical probabilityassessment approach with an inflation adapter Robert R. Grauer and NilsHakansson; 9. Multiperiod asset allocation with derivative assets David R.Carino and Andrew L. Turner; 10. The use of Treasury bill futures instrategic asset allocation programs Michael J. Brennan and Edwardo S.Schwartz; Part V. Scenario Generation Procedures: 11. Barycentricapproximation of stochastic interest rate processes Karl Frauendorfer andMichael Schurle; 12. Postoptimality for scenario based financial planningmodels with an application to bond portfolio management Jitka Dupacova,Marida Bertocchi and Vittorio Moriggia; 13. The Towers Perrin global capitalmarket scenario generation system John M. Mulvey and A. Eric Thorlacius; PartVI. Currency Hedging and Modelling Techniques: 14. An algorithm forinternational portfolio selection and optimal currency hedging Markus Rudolfand Heinz Zimmerman; 15. Optimal insurance asset allocation in amulti-currency environment John C. Sweeney, Steve Sonlin, Salvatore Correntiand Amy P. Williams; Part VII. Dynamic Portfolio Analysis with Assets andLiabilities: 16. Optimal investment strategies for university endowment fundsRobert C. Merton; 17. Optimal consumption-investment decisions allowing forbankruptcy: a survey Suresh Sethi; 18. Solving stochastic programming modelsfor asset/liability management using iterative disaggregation PieterKlaassen; 19. The CALM stochastic programming model for dynamicasset-liability management Georgio Consigli and Michael A. H. Dempster; 20. Adynamic model for asset liability management for defined benefit pensionfunds Cees Dert; 21. Asset and liability management under uncertainty forfixed income securities Stavros A. Zenios; Part VIII. Case Studies ofImplemented Asset-liability Management Models: 22. Modelling and managementof assets and liabilities of pension plans in The Netherlands Guus C. E.Boender, Paul van Aalst and Fred Heemskerk; 23. Integrated asset-liabilitymanagement: an implementation case study Martin Holmer; Part IV. TotalIntegrated Risk Management Models: 24. The Russell-Yasuda Kasai model: anasset/liability model for a Japanese insurance company using multistagestochastic programming David R. Carino, Terry Kent, David H. Myers, CelineStacy, Michael Sylvanus, Andrew Turner, Kanji Watanabe and William T. Ziemba;25. The home account advisor: asset and liability management for individualinvestors Adam J. Berger and John M. Mulvey.