Acknowledgements

List of contributors

Preface

William T. Ziemba

PART I. INTRODUCTION

1. Asset and liability management systems for long-term investors: discussion of the issues

John M. Mulvey

William T. Ziemba

PART II. STATIC PORTFOLIO ANALYSIS FOR ASSET ALLOCATION

2. The importance of the asset allocation decision

Chris R. Hensel

D. Don Ezra

John H. Ilkiw

3. The effect of errors in means, variances, and covariances on optimal portfolio choice

Vijay K. Chopra

William T. Ziemba

4. Making superior asset allocation decisions: a practitioner's guide

Chris R. Hensel

Andrew L. Turner

PART III. PERFORMANCE MEASUREMENT MODELS

5. Attribution of performance and holdings

Richard C. Grinold

Kelly A. Easton

6. National versus global influences on equity returns

Stan Beckers

Gregory Connor

Ross Curds

7. A global stock and bond model

Lucie Chaumeton

Gregory Connor

Ross Curds

PART IV. DYNAMIC PORTFOLIO MODELS FOR ASSET ALLOCATION

8. On timing the market: the empirical probability assessment approach with an inflation adapter

Robert R. Grauer

Nils Hakansson

9. Multiperiod asset allocation with derivative assets

David R. Carino

Andrew L. Turner

10. The use of Treasury bill futures in strategic asset allocation programs

Michael J. Brennan

Edwardo S. Schwartz

PART V. SCENARIO GENERATION PROCEDURES

11. Barycentric approximation of stochastic interest rate processes

Karl Frauendorfer

Michael Schurle

12. Postoptimality for scenario based financial planning models with an application to bond portfolio management

Jitka Dupacova

Marida Bertocchi

Vittorio Moriggia

13. The Towers Perrin global capital market scenario generation system

John M. Mulvey

A. Eric Thorlacius

PART VI. CURRENCY HEDGING AND MODELING TECHNIQUES

14. An algorithm for international portfolio selection and optimal currency hedging

Markus Rudolf

Heinz Zimmerman

15. Optimal insurance asset allocation in a multi-currency environment

John C. Sweeney

Stephen M. Sonlin

Salvatore Correnti

Amy P. Williams

PART VII. DYNAMIC PORTFOLIO ANALYSIS WITH ASSETS AND LIABILITIES

16. Optimal investment strategies for university endowment funds

Robert C. Merton

17. Optimal consumption-investment decisions allowing for bankruptcy: a survey

Suresh Sethi

18. Solving stochastic programming models for asset/liability management using iterative disaggregation

Pieter Klaassen

19. The CALM stochastic programming model for dynamic asset-liability management

Georgio Consigli

Michael A.H. Dempster

20. A dynamic model for asset liability management for defined benefit pension funds

Cees Dert

21. Asset and liability management under uncertainty for fixed income securities

Stavros A. Zenios

PART VIII. CASE STUDIES OF IMPLEMENTED ASSET-LIABILITY MANAGEMENT MODELS

22. Modelling and management of assets and liabilities of pension plans in the Netherlands

Guus C. E. Boender

Paul van Aalst

Fred Heemskerk

23. Integrated asset-liability management: an implementation case study

Martin Holmer

PART IX. TOTAL INTEGRATIVE RISK MANAGEMENT MODELS

24. The Russell-Yasuda Kasai model: an asset/liability model for a Japanese insurance company using multistage stochastic programming

David R. Carino

Terry Kent

David H. Myers

Celine Stacy

Michael Sylvanus

Andrew Turner

Kanji Watanabe

William T. Ziemba

25. The Home Account Advisor(TM): asset and liability management for individual investors