Handbook of Asset and Liability Management: Theory and Methodology

by Stavros A. Zenios (Editor), William T. Ziemba (Editor)

Overview

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.

Product Details

ISBN-13:	9780444508751
Publisher:	Elsevier Science
Publication date:	08/28/2006
Series:	Handbook of Asset and Liability Management Series , #1
Pages:	508
Product dimensions:	6.50(w) x 9.45(h) x (d)

Table of Contents

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).

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Presents the theories and methods supporting models that align a firm's operations and tactics with its uncertain environment