Handbook of Asset and Liability Management, Volume 1: Theory and Methodology

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Handbook of Asset and Liability Management
Volume 1: Theory and Methodology
Edited by: S.A. Zenios and W.T. Ziemba
ISBN: 978-0-444-53248-0
2006, Elsevier

Table of Contents
Introduction to the series for volume 1, Page v
Contents of the handbook for volume 1, Page vii
Preface for volume 1, Pages ix-xi
Chapter 1 Enterprise-wide asset and liability management: Issues, institutions, and models, Pages 1-23, Dan Rosen, Stavros A. Zenios
Chapter 2 Term and volatility structures, Pages 25-68, Roger J.-B. Wets, Sephen W. Bianchi
Chapter 3 Protecting investors against changes in interest rates, Pages 69-138, Olivier de la Grandville
Chapter 4 Risk-return analysis, Pages 139-197, Harry M. Markowitz, Erik Van Dijk
Chapter 5 Dynamic asset allocation strategies using a stochastic dynamic programming aproach, Pages 199-251, Gerd Infanger
Chapter 6 Stochastic programming models for asset liability management, Pages 253-303, Roy Kouwenberg, Stavros A. Zenios
Chapter 7 Bond portfolio management via stochastic programming, Pages 305-336, M. Bertocchi, V. Moriggia, J. Dupačová
Chapter 8 Perturbation methods for dynamic portfolio allocation problems, Pages 337-384, George Chacko, Karl Neumar
Chapter 9 The kelly criterion in blackjack sports betting, and the stock market, Pages 385-428, Edward O. Thorp
Chapter 10 Capital growth: Theory and practice, Pages 429-473, Leonard C. Maclean, William T. Ziemba
Author index for volume 1, Pages 475-481
Subject index for volume 1, Pages 483-487

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Handbook of Asset and Liability Management, Volume 1: Theory and Methodology
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