Worldwide asset and liability modeling:
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Cambridge
University press
1998
|
| Ausgabe: | 1. publ. |
| Schlagworte: | |
| Online-Zugang: | Publisher description Table of contents Inhaltsverzeichnis |
| Beschreibung: | XIV, 665 S. Ill. |
| ISBN: | 0521571871 |
Internformat
MARC
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| 245 | 1 | 0 | |a Worldwide asset and liability modeling |c edited by William T. Ziemba and John M. Mulvey |
| 250 | |a 1. publ. | ||
| 264 | 1 | |a Cambridge |b University press |c 1998 | |
| 300 | |a XIV, 665 S. |b Ill. | ||
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| 650 | 7 | |a Aansprakelijkheid |2 gtt | |
| 650 | 4 | |a Affectation de l'actif - Modèles mathématiques | |
| 650 | 4 | |a Gestion des actifs et des passifs - Modèles mathématiques | |
| 650 | 4 | |a Investissements - Modèles mathématiques | |
| 650 | 7 | |a Investissements - Modèles mathématiques |2 ram | |
| 650 | 7 | |a Liquidités internationales |2 ram | |
| 650 | 7 | |a Portfolio-analyse |2 gtt | |
| 650 | 7 | |a investissement |2 inriac | |
| 650 | 7 | |a marché financier |2 inriac | |
| 650 | 7 | |a mathématique financière |2 inriac | |
| 650 | 7 | |a mesure performance |2 inriac | |
| 650 | 7 | |a modélisation mathématique |2 inriac | |
| 650 | 7 | |a programmation stochastique |2 inriac | |
| 650 | 7 | |a titre financier |2 inriac | |
| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Asset allocation -- Mathematical models | |
| 650 | 4 | |a Investments -- Mathematical models | |
| 650 | 4 | |a Asset-liability management -- Mathematical models | |
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Datensatz im Suchindex
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|---|---|
| adam_text | CONTENTS ACKNOWLEDGEMENTS VIII LIST OF CONTRIBUTORS IX PREFACE WILLIAM
T. ZIEMBA XIII PART I. INTRODUCTION 1. ASSET AND LIABILITY MANAGEMENT
SYSTEMS FOR LONG-TERM INVESTORS: DISCUSSION OF THE ISSUES JOHN M. MULVEY
AND WILLIAM T, ZIEMBA 3 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. ILKIW 41 3. THE EFFECT OF ERRORS IN
MEANS, VARIANCES, AND COVARIANCES ON OPTIMAL PORTFOLIO CHOICE VIJAY K.
CHOPRA AND WILLIAM T. ZIEMBA 53 4. MAKING SUPERIOR ASSET ALLOCATION
DECISIONS: A PRACTITIONER S GUIDE CHRIS R. HENSEL AND ANDREW L. TURNER
62 PART III. PERFORMANCE MEASUREMENT MODELS 5. ATTRIBUTION OF
PERFORMANCE AND HOLDINGS RICHARD C. GRINOLD AND KELLY A. EASTON 87 6.
NATIONAL VERSUS GLOBAL INFLUENCES ON EQUITY RETURNS STAN BECKERS,
GREGORY CONNOR AND ROSS CURDS 114 7. A GLOBAL STOCK AND BOND MODEL LUCIE
CHAUMETON, GREGORY CONNOR AND ROSS CURDS 129 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 149 VI CONTENTS 9. MULTIPERIOD ASSET
ALLOCATION WITH DERIVATIVE ASSETS DAVID R. CARINO AND ANDREW L. TURNER
182 10. THE USE OF TREASURY BILL FUTURES IN STRATEGIC ASSET ALLOCATION
PROGRAMS MICHAEL J. BRENNAN AND EDWARDO S. SCHWARTZ 205 PART V. SCENARIO
GENERATION PROCEDURES 11. BARYCENTRIC APPROXIMATION OF STOCHASTIC
INTEREST RATE PROCESSES KARL FRAUENDORFER AND MICHAEL SCHUERLE 231 12.
POSTOPTIMALITY FOR SCENARIO BASED FINANCIAL PLANNING MODELS WITH AN
APPLICATION TO BOND PORTFOLIO MANAGEMENT JITKA DUPACOVA, MARIDA
BERTOCCHI AND VITTORIO MORIGGIA 263 13. THE TOWERS PERRIN GLOBAL CAPITAL
MARKET SCENARIO GENERATION SYSTEM JOHN M. MULVEY AND A. ERIC THORLACIUS
286 PART VI. CURRENCY HEDGING AND MODELING TECHNIQUES 14. AN ALGORITHM
FOR INTERNATIONAL PORTFOLIO SELECTION AND OPTIMAL CURRENCY HEDGING
MARKUS RUDOLF AND HEINZ ZIMMERMAN 315 15. OPTIMAL INSURANCE ASSET
ALLOCATION IN A MULTI-CURRENCY ENVIRONMENT JOHN C. SWEENEY, STEPHEN M.
SONLIN, SALVATORE CORRENTI AND AMY P. WILLIAMS 341 PART VII. DYNAMIC
PORTFOLIO ANALYSIS WITH ASSETS AND LIABILITIES 16. OPTIMAL INVESTMENT
STRATEGIES FOR UNIVERSITY ENDOWMENT FUNDS ROBERT C. MERTON 371 17.
OPTIMAL CONSUMPTION-INVESTMENT DECISIONS ALLOWING FOR BANKRUPTCY: A
SURVEY SURESH SETHI 397 18. SOLVING STOCHASTIC PROGRAMMING MODELS FOR
ASSET/LIABILITY MANAGEMENT USING ITERATIVE DISAGGREGATION PIETER
KLAASSEN 427 19. THE CALM STOCHASTIC PROGRAMMING MODEL FOR DYNAMIC
ASSET-LIABILITY MANAGEMENT GEORGIO CONSIGLI AND MICHAEL A.H. DEMPSTER
464 CONTENTS VII 20. A DYNAMIC MODEL FOR ASSET LIABILITY MANAGEMENT FOR
DEFINED BENEFIT PENSION FUNDS CEES DERT 501 21. ASSET AND LIABILITY
MANAGEMENT UNDER UNCERTAINTY FOR FIXED INCOME SECURITIES STAVROS A-
ZENIOS 537 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 561 23. INTEGRATED ASSET-LIABILITY MANAGEMENT: AN
IMPLEMENTATION CASE STUDY MARTIN HOLMER 581 PART IX. TOTAL INTEGRATIVE
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 ... 609 25. THE HOME ACCOUNT ADVISOR*: ASSET AND
LIABILITY MANAGEMENT FOR INDIVIDUAL INVESTORS ADAM J. BERGER AND JOHN M.
MULVEY 634
|
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| author_GND | (DE-588)108488713 |
| building | Verbundindex |
| bvnumber | BV012843063 |
| callnumber-first | H - Social Science |
| callnumber-label | HG4529 |
| callnumber-raw | HG4529.5.W67 1998 |
| callnumber-search | HG4529.5.W67 1998 |
| callnumber-sort | HG 44529.5 W67 41998 |
| callnumber-subject | HG - Finance |
| classification_rvk | QK 810 SK 980 |
| classification_tum | WIR 160f WIR 670f |
| ctrlnum | (OCoLC)40299839 (DE-599)BVBBV012843063 |
| dewey-full | 332.1754015 332.60151 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.1754015 332.60151 |
| dewey-search | 332.1754015 332.60151 |
| dewey-sort | 3332.1754015 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| edition | 1. publ. |
| format | Book |
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| indexdate | 2024-07-09T18:34:41Z |
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| language | English |
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| spelling | Worldwide asset and liability modeling edited by William T. Ziemba and John M. Mulvey 1. publ. Cambridge University press 1998 XIV, 665 S. Ill. txt rdacontent n rdamedia nc rdacarrier Aansprakelijkheid gtt Affectation de l'actif - Modèles mathématiques Gestion des actifs et des passifs - Modèles mathématiques Investissements - Modèles mathématiques Investissements - Modèles mathématiques ram Liquidités internationales ram Portfolio-analyse gtt investissement inriac marché financier inriac mathématique financière inriac mesure performance inriac modélisation mathématique inriac programmation stochastique inriac titre financier inriac Mathematisches Modell Asset allocation -- Mathematical models Investments -- Mathematical models Asset-liability management -- Mathematical models Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content Portfolio Selection (DE-588)4046834-3 s Mathematisches Modell (DE-588)4114528-8 s DE-604 Ziemba, William T. 1941- Sonstige (DE-588)108488713 oth http://www.loc.gov/catdir/description/cam0210/99172050.html Publisher description http://www.loc.gov/catdir/toc/cam027/99172050.html Table of contents SWB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008739265&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Worldwide asset and liability modeling Aansprakelijkheid gtt Affectation de l'actif - Modèles mathématiques Gestion des actifs et des passifs - Modèles mathématiques Investissements - Modèles mathématiques Investissements - Modèles mathématiques ram Liquidités internationales ram Portfolio-analyse gtt investissement inriac marché financier inriac mathématique financière inriac mesure performance inriac modélisation mathématique inriac programmation stochastique inriac titre financier inriac Mathematisches Modell Asset allocation -- Mathematical models Investments -- Mathematical models Asset-liability management -- Mathematical models Portfolio Selection (DE-588)4046834-3 gnd Mathematisches Modell (DE-588)4114528-8 gnd |
| subject_GND | (DE-588)4046834-3 (DE-588)4114528-8 (DE-588)4143413-4 |
| title | Worldwide asset and liability modeling |
| title_auth | Worldwide asset and liability modeling |
| title_exact_search | Worldwide asset and liability modeling |
| title_full | Worldwide asset and liability modeling edited by William T. Ziemba and John M. Mulvey |
| title_fullStr | Worldwide asset and liability modeling edited by William T. Ziemba and John M. Mulvey |
| title_full_unstemmed | Worldwide asset and liability modeling edited by William T. Ziemba and John M. Mulvey |
| title_short | Worldwide asset and liability modeling |
| title_sort | worldwide asset and liability modeling |
| topic | Aansprakelijkheid gtt Affectation de l'actif - Modèles mathématiques Gestion des actifs et des passifs - Modèles mathématiques Investissements - Modèles mathématiques Investissements - Modèles mathématiques ram Liquidités internationales ram Portfolio-analyse gtt investissement inriac marché financier inriac mathématique financière inriac mesure performance inriac modélisation mathématique inriac programmation stochastique inriac titre financier inriac Mathematisches Modell Asset allocation -- Mathematical models Investments -- Mathematical models Asset-liability management -- Mathematical models Portfolio Selection (DE-588)4046834-3 gnd Mathematisches Modell (DE-588)4114528-8 gnd |
| topic_facet | Aansprakelijkheid Affectation de l'actif - Modèles mathématiques Gestion des actifs et des passifs - Modèles mathématiques Investissements - Modèles mathématiques Liquidités internationales Portfolio-analyse investissement marché financier mathématique financière mesure performance modélisation mathématique programmation stochastique titre financier Mathematisches Modell Asset allocation -- Mathematical models Investments -- Mathematical models Asset-liability management -- Mathematical models Portfolio Selection Aufsatzsammlung |
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