Handbook of Asset and Liability Management - 1st Edition - ISBN: 9780444508751, 9780080478203

Handbook of Asset and Liability Management

1st Edition

Theory and Methodology

Editors: Stavros A. Zenios William Ziemba
Hardcover ISBN: 9780444508751
eBook ISBN: 9780080478203
Imprint: North Holland
Published Date: 17th July 2006
Page Count: 508
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Table of Contents

Volume 1 Theory 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. O’Thorpe). 10. Capital growth theory and practice (L. MacLean & W. T. Ziemba).

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.

Key Features

Each volume presents an accurate survey of a sub-field of finance Fills a substantial gap in this field *Broad in scope

Readership

Key reading for finance and economics professors and lecturers, professional researchers, graduate students and as a teaching supplement


Details

No. of pages:
508
Language:
English
Copyright:
© North Holland 2006
Published:
Imprint:
North Holland
eBook ISBN:
9780080478203
Hardcover ISBN:
9780444508751

About the Editors

Stavros A. Zenios Editor

Affiliations and Expertise

University of Cyprus, Nicosia, Cyprus/University of Pennsylvania, Philadelphia, PA, U.S.A.

William Ziemba Editor

Affiliations and Expertise

University of British Columbia, Vancouver, Canada