Handbook of Asset and Liability Management: Theory and MethodologyStavros A. Zenios, William T. Ziemba Elsevier, 2006 M07 17 - 508 páginas This first volume of the Handbook of Asset and Liability Management presents the theories and methods supporting models that align a firm's operations and tactics with its uncertain environment. Detailing the symbiosis between optimization tools and financial decision-making, its original articles cover term and volatility structures, interest rates, risk-return analysis, dynamic asset allocation strategies in discrete and continuous time, the use of stochastic programming models, bond portfolio management, and the Kelly capital growth theory and practice. They effectively set the scene for Volume Two by showing how the management of risky assets and uncertain liabilities within an integrated, coherent framework remains the core problem for both financial institutions and other business enterprises as well. *Each volume presents an accurate survey of a sub-field of finance*Fills a substantial gap in this field*Broad in scope |
Contenido
25 | |
Chapter 3 Protecting Investors Against Changes in Interest Rates | 69 |
Chapter 4 RiskReturn Analysis | 139 |
Chapter 5 Dynamic Asset Allocation Strategies Using a Stochastic Dynamic Programming Approach | 199 |
Chapter 6 Stochastic Programming Models for Asset Liability Management | 253 |
Chapter 7 Bond Portfolio Management via Stochastic Programming | 305 |
Chapter 8 Perturbation Methods for Dynamic Portfolio Allocation Problems | 337 |
Chapter 9 The Kelly Criterion in Blackjack Sports Betting and the Stock Market | 385 |
Theory and Practice | 429 |
475 | |
483 | |
Otras ediciones - Ver todas
Handbook of Asset and Liability Management: Theory and Methodology Stavros A. Zenios,William T. Ziemba Vista previa limitada - 2006 |
Handbook of Asset and Liability Management: Theory and Methodology Stavros A. Zenios,William T. Ziemba Sin vista previa disponible - 2006 |
Términos y frases comunes
algorithm analysis approximation arbitrage asset allocation asset and liability asset classes asset liability management asset returns Bellman equation bond portfolio capital cash flows computed constraints continuously compounded covariance covariance matrix critical line decision derivative dynamic programming elasticity of substitution EpiCurves equation error estimation event tree example expected return factors forward rate growth immunizing portfolio initial interest rate investment horizon investor Journal Kelly criterion Kelly strategy liability management linear linear programming Markowitz matrix maturity maximize mean mean-variance methods multiperiod Mulvey nodes parameters portfolio management portfolio selection probability problem quadratic random rebalancing relative risk aversion return distributions risk aversion sampling scenario tree securities semivariance Sharpe ratio simulation solution solve spot rate spot rate curve stochastic programming model stocks Table total return utility function value at risk variables variance vector vector autoregressive volatility Zenios zero-curves Ziemba