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Worldwide Asset and Liability Modeling

Editor

Listed:
  • Ziemba,William T.
  • Mulvey,John M.

Abstract

The underlying theme of this volume is how to invest assets over time to achieve satisfactory returns subject to uncertainties, various constraints and liability commitments. Most investors, be they individuals or institutions, do not diversify properly across markets nor across time. The papers utilize several approaches and integrate a number of techniques as well as discussing a variety of models that have either been implemented, are close to being implemented, or represent new innovative approaches that may lead to future novel applications. Other issues address the future of asset-liability management modeling. This includes models for individuals, and various financial institutions such as banks and insurance companies. This will lead to custom products, that is, financial engineering. All in all, this will be essential reading for all involved in analysing the financial markets.

Suggested Citation

  • Ziemba,William T. & Mulvey,John M. (ed.), 1998. "Worldwide Asset and Liability Modeling," Cambridge Books, Cambridge University Press, number 9780521571876.
    • Handle: RePEc:cup:cbooks:9780521571876
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    Citations

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    Cited by:

    1. David R. Cariño & David H. Myers & William T. Ziemba, 1998. "Concepts, Technical Issues, and Uses of the Russell-Yasuda Kasai Financial Planning Model," Operations Research, INFORMS, vol. 46(4), pages 450-462, August.
    2. John M. Mulvey & Cenk Ural & Zhuojuan Zhang, 2007. "Improving performance for long-term investors: wide diversification, leverage, and overlay strategies," Quantitative Finance, Taylor & Francis Journals, vol. 7(2), pages 175-187.
    3. David R. Cariño & William T. Ziemba, 1998. "Formulation of the Russell-Yasuda Kasai Financial Planning Model," Operations Research, INFORMS, vol. 46(4), pages 433-449, August.
    4. Michael A. H. Dempster & Igor V. Evstigneev & Klaus R. Schenk-hoppe, 2007. "Volatility-induced financial growth," Quantitative Finance, Taylor & Francis Journals, vol. 7(2), pages 151-160.
    5. John M. Mulvey & Koray D. Simsek & Zhuojuan Zhang & Frank J. Fabozzi & William R. Pauling, 2008. "OR PRACTICE---Assisting Defined-Benefit Pension Plans," Operations Research, INFORMS, vol. 56(5), pages 1066-1078, October.
    6. Bae, Geum Il & Kim, Woo Chang & Mulvey, John M., 2014. "Dynamic asset allocation for varied financial markets under regime switching framework," European Journal of Operational Research, Elsevier, vol. 234(2), pages 450-458.
    7. Alois Geyer & William T. Ziemba, 2008. "The Innovest Austrian Pension Fund Financial Planning Model InnoALM," Operations Research, INFORMS, vol. 56(4), pages 797-810, August.

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