Handbook of Asset and Liability Management
Theory and Methodology
Published on 17. July 2006
Book
Hardback
508 pages
978-0-444-50875-1 (ISBN)
Description
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.
More details
Language
English
Place of publication
United States
Publishing group
Elsevier Science & Technology
Target group
Professional and scholarly
Key reading for finance and economics professors and lecturers, professional researchers, graduate students and as a teaching supplement
Product notice
Laminated cover
Dimensions
Height: 242 mm
Width: 171 mm
Thickness: 25 mm
Weight
1066 gr
ISBN-13
978-0-444-50875-1 (9780444508751)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Other editions
Additional editions
S. A Zenios | Stavros A. Zenios | William T. Ziemba
Handbook of Asset and Liability Management
Theory and Methodology
E-Book
05/2014
North-Holland
€149.00
Available for download
Persons
Content
Volume 1.
Theory and Methodology.
Preface to Volumes A and B. 1.Enterprise-Wide Asset and Liability Management:Issues, Institutions and Models (D. Rosen & S. Zenios). 2. Term and volatility structures (R.J-.B. Wets & S. Bianchi). 3. Protecting investors against changes in interest rates (O. de la Grandville). 4. Risk-return analysis (H. Markowitz & E. van Dijk). 5. Dynamic Asset allocation and strategies (G. Infanger). 6. Stochastic programming models (R. Kouwenberg & S.A. Zenios). 7. Bond portfolio management via stochastic programming (M. Bertochhi, J. Dupacova, V. Moriggia). 8. Pertubation methods for dynamic portfolio allocation problems (G. Chacko & K. Neumar). 9. The Kelly criterion in blackjack, sport betting and the stock market (E. O'Thorpe). 10. Capital growth theory and practice (L. MacLean & W. T. Ziemba).
Theory and Methodology.
Preface to Volumes A and B. 1.Enterprise-Wide Asset and Liability Management:Issues, Institutions and Models (D. Rosen & S. Zenios). 2. Term and volatility structures (R.J-.B. Wets & S. Bianchi). 3. Protecting investors against changes in interest rates (O. de la Grandville). 4. Risk-return analysis (H. Markowitz & E. van Dijk). 5. Dynamic Asset allocation and strategies (G. Infanger). 6. Stochastic programming models (R. Kouwenberg & S.A. Zenios). 7. Bond portfolio management via stochastic programming (M. Bertochhi, J. Dupacova, V. Moriggia). 8. Pertubation methods for dynamic portfolio allocation problems (G. Chacko & K. Neumar). 9. The Kelly criterion in blackjack, sport betting and the stock market (E. O'Thorpe). 10. Capital growth theory and practice (L. MacLean & W. T. Ziemba).