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Handbook of Asset and Liability Management
 
 

Handbook of Asset and Liability Management, 1st Edition

Theory and Methodology

 
Handbook of Asset and Liability Management, 1st Edition,Stavros A. Zenios,William Ziemba,ISBN9780444508751
 
 
 

Zenios   &   Ziemba   

North Holland

9780444508751

508

240 X 165

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

Print Book

Hardcover

In Stock

Estimated Delivery Time
USD 200.00
 
 

Key Features

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

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.

Readership

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

Stavros A. Zenios

Affiliations and Expertise

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

View additional works by Stavros A. Zenios

William Ziemba

Affiliations and Expertise

University of British Columbia, Vancouver, Canada

View additional works by William T. Ziemba

Handbook of Asset and Liability Management, 1st Edition

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).
 
 
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