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Volumn 29, Issue 2, 2003, Pages

Advantages of multiperiod portfolio models

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EID: 0037413123     PISSN: 00954918     EISSN: None     Source Type: Journal    
DOI: 10.3905/jpm.2003.319871     Document Type: Article
Times cited : (29)

References (17)
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  • 3
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    • Cariño, D., T. Kent, D. Myers, C. Stacy, M. Sylvanus, A. Turner, K. Watanabe, and W. Ziemba. "The Russell-Yasuda Kasai Model: An Asset Liability Model for a Japanese Insurance Company using Multi-stage Stochastic Programming." Interfaces, 24 (1994), pp. 29-49.
    • (1994) Interfaces , vol.24 , pp. 29-49
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  • 4
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    • Simulated moment estimation of markov models of asset prices
    • Duffie, D., and K. Singleton. "Simulated Moment Estimation of Markov Models of Asset Prices." Econometrica, 62 (1993), pp. 929-952.
    • (1993) Econometrica , vol.62 , pp. 929-952
    • Duffie, D.1    Singleton, K.2
  • 6
    • 0002402984 scopus 로고
    • Higher return, lower risk: Historical returns on long-run, actively managed portfolios of stocks, bonds and bills, 1936-78
    • Grauer, R.R., and N.H. Hakansson. "Higher Return, Lower Risk: Historical Returns on Long-run, Actively Managed Portfolios of Stocks, Bonds and Bills, 1936-78." Financial Analysts Journal, 38 (1982), pp. 39-53.
    • (1982) Financial Analysts Journal , vol.38 , pp. 39-53
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  • 11
    • 84976531276 scopus 로고    scopus 로고
    • Rebalancing strategies for multi-period asset allocation
    • Fall
    • Mulvey, J.M., N. Lu, and J. Sweemer. "Rebalancing Strategies for Multi-period Asset Allocation." Wealth Magazine, Fall 2001.
    • (2001) Wealth Magazine
    • Mulvey, J.M.1    Lu, N.2    Sweemer, J.3
  • 12
    • 0003330076 scopus 로고    scopus 로고
    • The towers perrin global capital market scenario generation system: CAP:Link
    • W.T. Ziemba and J.M. Mulvey, eds. Cambridge: Cambridge University Press
    • Mulvey, J.M., and E. Thorlacius. "The Towers Perrin Global Capital Market Scenario Generation System: CAP:Link." In W.T. Ziemba and J.M. Mulvey, eds., Worldwide Asset and Liability Modeling. Cambridge: Cambridge University Press, 1998.
    • (1998) Worldwide Asset and Liability Modeling
    • Mulvey, J.M.1    Thorlacius, E.2
  • 13
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    • Asset and liability management systems for long-term investors
    • W.T. Ziemba and J.M. Mulvey, eds. Cambridge: Cambridge University Press
    • Mulvey, J.M., and W. Ziemba. "Asset and Liability Management Systems for Long-Term Investors." In W.T. Ziemba and J.M. Mulvey, eds., Worldwide Asset and Liability Modeling. Cambridge: Cambridge University Press, 1998.
    • (1998) Worldwide Asset and Liability Modeling
    • Mulvey, J.M.1    Ziemba, W.2
  • 15
    • 0031498259 scopus 로고    scopus 로고
    • Asset allocation and funding policy for corporate-sponsored defined-benefit pension plans
    • Winter
    • Peskin, M.W. "Asset Allocation and Funding Policy for Corporate-Sponsored Defined-Benefit Pension Plans." The Journal of Portfolio Management, Winter 1997.
    • (1997) The Journal of Portfolio Management
    • Peskin, M.W.1
  • 16
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    • Rethinking pension liabilities and asset allocation
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    • Ryan, R., and F.J. Fabozzi. "Rethinking Pension Liabilities and Asset Allocation." The Journal of Portfolio Management, Summer 2002, pp. 7-15.
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  • 17
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