Managing guarantees

Journal of Portfolio Management

Volumn 32, Issue 2, 2006, Pages 51-61

  Dempster, Michael A H ^a,b   Germano, Matteo ^c   Medova, Elena A ^b,d   Rietbergen, Muriel I ^b,d   Sandrini, Francesco ^c   Scrowston, Mark ^c  

^a UNIVERSITY OF CAMBRIDGE   (United Kingdom)

^b Cambridge Systems Associates Limited   (United Kingdom)

^c Pioneer Investments Ltd   (Ireland)

^d UNIVERSITY OF CAMBRIDGE   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33644680087     PISSN: 00954918     EISSN: None     Source Type: Journal    
DOI: 10.3905/jpm.2006.611803     Document Type: Article

References (5)

1. Dempster, M.A.H., M. Germano, E.A. Medova, and M. Villaverde. "Global Asset Liability Management." British Actuarial Journal, 9 (2003), pp. 137-216.
2. Fabozzi, F. J., S. Focardi, and C. Jonas. "Can Modeling Help Deal with the Pension Funding Crisis?" The Intertek Group, 2004.
3. Kouwenberg, R. "Scenario Generation and Stochastic Programming Models for Asset Liability Management." European Journal of Operational Research, 134 (2001), pp. 279-292.
4. Mulvey, J.M., W.R. Pauling, and R.E. Madey. "Advantages of Multiperiod Portfolio Models." The Journal of Portfolio Management, 29 (2003), pp. 35-45.
5. Ryan, R.J., and F.J. Fabozzi. "Rethinking Pension Liabilities and Asset Allocation." The Journal of Portfolio Management, 28 (2002), pp. 7-15.