Handbook of Asset and Liability Management
Theory and MethodologyEdited by
- Stavros A. Zenios
- William Ziemba
Key reading for finance and economics professors and lecturers, professional researchers, graduate students and as a teaching supplement
Hardbound, 508 Pages
Published: July 2006
- Volume 1Theory and Methodology.Preface to Volumes 1 and 2. 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. OâThorpe). 10. Capital growth theory and practice (L. MacLean & W. T. Ziemba).