메뉴 건너뛰기




Volumn , Issue , 2006, Pages

Asset Liability Management

Author keywords

Asset liability; Defined benefit; Pension contracts; Pension deal; Pension fund; Policy makers

Indexed keywords


EID: 40949133946     PISSN: None     EISSN: None     Source Type: Book    
DOI: 10.1093/oxfordhb/9780199272464.003.0021     Document Type: Chapter
Times cited : (17)

References (40)
  • 3
    • 0039179796 scopus 로고    scopus 로고
    • Investing for the long run when returns are predictable
    • Barberis, N. (2000). 'Investing for the long run when returns are predictable'. Journal of Finance, 55: 225-64.
    • (2000) Journal of Finance , vol.55 , pp. 225-264
    • Barberis, N.1
  • 4
    • 0031145910 scopus 로고
    • Hybrid simulation/optimisation scenario model for asset/liability management
    • Boender, C. G. J. (1995). 'Hybrid simulation/optimisation scenario model for asset/liability management'. European Journal of Operational Research, 99: 126-35.
    • (1995) European Journal of Operational Research , vol.99 , pp. 126-135
    • Boender, C.G.J.1
  • 5
    • 0001094449 scopus 로고    scopus 로고
    • Modelling and managment of assets and liabilities of pension plans in the Netherlands
    • W. T. Ziemba and J. M. Mulvey (eds.), Cambridge: Cambridge University Press
    • Boender, C. G. J. Van Aalst, P. C., and Heemskerk, F. (1998). 'Modelling and managment of assets and liabilities of pension plans in the Netherlands', in W. T. Ziemba and J. M. Mulvey (eds.), Worldwide Asset Liability Modeling. Cambridge: Cambridge University Press.
    • (1998) Worldwide Asset Liability Modeling
    • Boender, C.G.J.1    Van Aalst, P.C.2    Heemskerk, F.3
  • 6
    • 84924026510 scopus 로고    scopus 로고
    • Dynamic portfolio selection by augmenting the asset space
    • NBER Working Paper No. 10372
    • Brandt, M.W., and Santa-Clara, P. (2004). 'Dynamic portfolio selection by augmenting the asset space'. NBER Working Paper No. 10372.
    • (2004)
    • Brandt, M.W.1    Santa-Clara, P.2
  • 8
    • 49449101483 scopus 로고    scopus 로고
    • Persistence, predictability, and portfolio planning
    • Working Paper. Wharton School of University of Pennsylvania
    • Brennan, M. J. and Xia, Y. (2004). 'Persistence, predictability, and portfolio planning'. Working Paper. Wharton School of University of Pennsylvania.
    • (2004)
    • Brennan, M.J.1    Xia, Y.2
  • 11
    • 13844296869 scopus 로고    scopus 로고
    • The term structure of the risk-return tradeoff
    • Campbell, J. Y. and Viceira, L. M. (2005). 'The term structure of the risk-return tradeoff'. Financial Analyst Journal, 61: 34-44.
    • (2005) Financial Analyst Journal , vol.61 , pp. 34-44
    • Campbell, J.Y.1    Viceira, L.M.2
  • 12
    • 0002341731 scopus 로고
    • The Russel-Yasuda Kasai model: an asset liability model for a Japanese insurance company using multistage stochastic programming
    • Carino, D. R., Kent, T., Myers, D. H., Stacy, C., Sylvanus, M., Turner, A. L., Watanabe, K., and Ziemba, W. T. (1994). 'The Russel-Yasuda Kasai model: an asset liability model for a Japanese insurance company using multistage stochastic programming'. Interfaces, 24/1: 29-49.
    • (1994) Interfaces , vol.24 , Issue.1 , pp. 29-49
    • Carino, D.R.1    Kent, T.2    Myers, D.H.3    Stacy, C.4    Sylvanus, M.5    Turner, A.L.6    Watanabe, K.7    Ziemba, W.T.8
  • 13
    • 0032115323 scopus 로고    scopus 로고
    • Formulation of the Russel-Yasuda Kasai financial planning model
    • Carino, D. R. and Ziemba, W. T. (1998). 'Formulation of the Russel-Yasuda Kasai financial planning model'. Operations Research, 46: 443-9.
    • (1998) Operations Research , vol.46 , pp. 443-449
    • Carino, D.R.1    Ziemba, W.T.2
  • 14
    • 0004291281 scopus 로고    scopus 로고
    • Princeton: Princeton University Press
    • Cochrane, J. H. (2005). Asset Pricing. Princeton: Princeton University Press.
    • (2005) Asset Pricing
    • Cochrane, J.H.1
  • 15
    • 85033252001 scopus 로고    scopus 로고
    • Scenario optimization asset and liability modelling for endowments with quarantees
    • Working Paper. HERMES European Center of Excellence on Computational Finance and Economics
    • Consiglio, A., Cocco, F., and Zenios, S. A. (2000). 'Scenario optimization asset and liability modelling for endowments with quarantees'. Working Paper. HERMES European Center of Excellence on Computational Finance and Economics.
    • (2000)
    • Consiglio, A.1    Cocco, F.2    Zenios, S.A.3
  • 17
    • 0003679347 scopus 로고
    • Asset liability management for pension funds: a multistage chance constrained programming approach
    • Ph.D. thesis. Erasmus University, Rotterdam
    • Dert, C. L. (1995). 'Asset liability management for pension funds: a multistage chance constrained programming approach'. Ph.D. thesis. Erasmus University, Rotterdam.
    • (1995)
    • Dert, C.L.1
  • 18
    • 0003139172 scopus 로고    scopus 로고
    • A dynamic model for asset liability management for defined benefit pension funds
    • W. T. Ziemba and J. M. Mulvey, (eds.), Cambridge: Cambridge University Press
    • Dert, C. L. (1998). 'A dynamic model for asset liability management for defined benefit pension funds', in W. T. Ziemba and J. M. Mulvey, (eds.), Worldwide Asset Liability Modeling. Cambridge: Cambridge University Press.
    • (1998) Worldwide Asset Liability Modeling
    • Dert, C.L.1
  • 19
    • 84924059911 scopus 로고    scopus 로고
    • Stakeholder alignment and agency issues in pensions management
    • Presentation to the Centre for Pension Management Colloquium, 5-6 Oct
    • Exley, J. (2004). 'Stakeholder alignment and agency issues in pensions management'. Presentation to the Centre for Pension Management Colloquium, 5-6 Oct.
    • (2004)
    • Exley, J.1
  • 21
    • 35548994703 scopus 로고    scopus 로고
    • Strategic asset allocation with liabilities: beyond stocks and bonds
    • Working Paper. Maastricht University
    • Hoevenaars, R. P. M. M.,Molenaar, R. D. J., Schotman, P. C. and Steenkamp, T. B. M. (2005). 'Strategic asset allocation with liabilities: beyond stocks and bonds'. Working Paper. Maastricht University.
    • (2005)
    • Hoevenaars, R.P.M.M.1    Molenaar, R.D.J.2    Schotman, P.C.3    Steenkamp, T.B.M.4
  • 23
    • 0035900037 scopus 로고    scopus 로고
    • Scenario generation and stochastic programming models for asset liability management
    • Kouwenberg, R. R. P. (2001). 'Scenario generation and stochastic programming models for asset liability management'. European Journal of Operational Research, 134: 51-64.
    • (2001) European Journal of Operational Research , vol.134 , pp. 51-64
    • Kouwenberg, R.R.P.1
  • 26
    • 84995186518 scopus 로고
    • Portfolio selection
    • Markowitz, H. (1952). 'Portfolio selection'. Journal of Finance, 7: 77-91.
    • (1952) Journal of Finance , vol.7 , pp. 77-91
    • Markowitz, H.1
  • 27
    • 0000314740 scopus 로고
    • Lifetime portfolio selection under uncertainty: the continuous time case
    • Merton, R. C. (1969). 'Lifetime portfolio selection under uncertainty: the continuous time case'. Review of Economics and Statistics, 51: 247-57.
    • (1969) Review of Economics and Statistics , vol.51 , pp. 247-257
    • Merton, R.C.1
  • 28
    • 0011090049 scopus 로고
    • Optimum consumption and portfolio rules in a continuous-time model
    • Merton, R. C. (1971). 'Optimum consumption and portfolio rules in a continuous-time model', Journal of Economic Theory, 3: 373-413.
    • (1971) Journal of Economic Theory , vol.3 , pp. 373-413
    • Merton, R.C.1
  • 29
    • 21344490143 scopus 로고
    • An asset-liability investment system
    • Mulvey, J. M. (1994). 'An asset-liability investment system'. Interfaces, 24:22-33.
    • (1994) Interfaces , vol.24 , pp. 22-33
    • Mulvey, J.M.1
  • 30
    • 0039270669 scopus 로고    scopus 로고
    • Generating scenarios for theTowersPerrin investment system
    • Mulvey, J. M. (1996). 'Generating scenarios for theTowersPerrin investment system'. Interfaces, 26: 1-15.
    • (1996) Interfaces , vol.26 , pp. 1-15
    • Mulvey, J.M.1
  • 31
    • 0038831433 scopus 로고    scopus 로고
    • An asset and liability management system for Towers Perrin-Tillinghast
    • Mulvey, J. M. Gould, G., and Morgan, C. (2000). 'An asset and liability management system for Towers Perrin-Tillinghast'. Interfaces, 30: 96-114.
    • (2000) Interfaces , vol.30 , pp. 96-114
    • Mulvey, J.M.1    Gould, G.2    Morgan, C.3
  • 32
    • 0002034679 scopus 로고
    • Dynamic strategies for asset allocation
    • Jan.-Feb
    • Perold, A. F., and Sharpe, W. F. (1988). 'Dynamic strategies for asset allocation'. Financial Analysts Journal, Jan.-Feb.: 16-27.
    • (1988) Financial Analysts Journal , pp. 16-27
    • Perold, A.F.1    Sharpe, W.F.2
  • 33
    • 84973112275 scopus 로고    scopus 로고
    • Pension funds and value-based intergenerational accounting
    • Ponds, E. (2003). 'Pension funds and value-based intergenerational accounting'. Journal of Pension Economics and Finance, 2/3: 295-325.
    • (2003) Journal of Pension Economics and Finance , vol.2 , Issue.3 , pp. 295-325
    • Ponds, E.1
  • 34
    • 0000314743 scopus 로고
    • Lifetime portfolio selection by dynamic stochastic programming
    • Samuelson, P. (1969). 'Lifetime portfolio selection by dynamic stochastic programming'. Review of Economics and Statistics, 51: 239-46.
    • (1969) Review of Economics and Statistics , vol.51 , pp. 239-246
    • Samuelson, P.1
  • 35
    • 29444451021 scopus 로고    scopus 로고
    • Generational accounting, solidarity and pension losses
    • CEPR Discussion Paper 4209
    • Teulings, C. N., and De Vries, C. G. (2004). 'Generational accounting, solidarity and pension losses'. CEPR Discussion Paper 4209.
    • (2004)
    • Teulings, C.N.1    De Vries, C.G.2
  • 36
    • 0036003373 scopus 로고    scopus 로고
    • Optimal consumption and portfolio allocation under mean-reverting returns: an exact solution for complete markets
    • Wachter, J. (2002). 'Optimal consumption and portfolio allocation under mean-reverting returns: an exact solution for complete markets'. Journal of Financial and Quantitative Analysis, 37: 63-91.
    • (2002) Journal of Financial and Quantitative Analysis , vol.37 , pp. 63-91
    • Wachter, J.1
  • 37
    • 0000977443 scopus 로고
    • A stochastic investment model for actuarial use
    • Wilkie, A. D. (1987). 'A stochastic investment model for actuarial use'. Transactions of Actuaries, 39: 391-403.
    • (1987) Transactions of Actuaries , vol.39 , pp. 391-403
    • Wilkie, A.D.1
  • 38
    • 0043271569 scopus 로고
    • More on a stochastic asset model for actuarial use
    • Presented to the Institute of Actuaries and Faculty of Actuaries, London
    • Wilkie, A. D. (1995). 'More on a stochastic asset model for actuarial use'. Presented to the Institute of Actuaries and Faculty of Actuaries, London.
    • (1995)
    • Wilkie, A.D.1
  • 39
    • 7544228271 scopus 로고    scopus 로고
    • The stochastic programming approach to asset, liability, and wealth management
    • The Research Foundation of the Association for Investment Management and Research
    • Ziemba, T. Z. (2003). 'The stochastic programming approach to asset, liability, and wealth management'. The Research Foundation of the Association for Investment Management and Research.
    • (2003)
    • Ziemba, T.Z.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.