메뉴 건너뛰기




Volumn 2, Issue , 2008, Pages 861-962

The Russell-Yasuda Kasai, Innoalm and Related Models for Pensions, Insurance Companies and High Net Worth Individuals

Author keywords

[No Author keywords available]

Indexed keywords


EID: 84882511893     PISSN: None     EISSN: None     Source Type: Book    
DOI: 10.1016/B978-044453248-0.50025-3     Document Type: Chapter
Times cited : (10)

References (155)
  • 2
    • 0000222840 scopus 로고
    • Some evidence on the efficiency of a speculative market
    • Ali M.M. Some evidence on the efficiency of a speculative market. Econometrica 1979, 47:637-642.
    • (1979) Econometrica , vol.47 , pp. 637-642
    • Ali, M.M.1
  • 4
    • 0039179796 scopus 로고    scopus 로고
    • Investing for the long run when returns are predictable
    • Barberis N.M. Investing for the long run when returns are predictable. Journal of Finance 2000, 55:225-264.
    • (2000) Journal of Finance , vol.55 , pp. 225-264
    • Barberis, N.M.1
  • 8
    • 0022698417 scopus 로고
    • Designing approximation schemes for stochastic optimization problems, in particular for stochastic programs with recourse. Stochastic programming 84. I
    • Birge J.R., Wets R.J.-B. Designing approximation schemes for stochastic optimization problems, in particular for stochastic programs with recourse. Stochastic programming 84. I. Math. Programming Stud. 1986, 27:54-102.
    • (1986) Math. Programming Stud. , vol.27 , pp. 54-102
    • Birge, J.R.1    Wets, R.J.-B.2
  • 9
    • 0001908429 scopus 로고
    • A one-factor model of interest rates and its application to Tresury bond options
    • Black F., Derman E., Toy W. A one-factor model of interest rates and its application to Tresury bond options. Financial Analysts Journal 1990, 1:33-39.
    • (1990) Financial Analysts Journal , vol.1 , pp. 33-39
    • Black, F.1    Derman, E.2    Toy, W.3
  • 10
    • 85015692260 scopus 로고
    • The pricing of options and corporate liablities
    • Black F., Scholes M. The pricing of options and corporate liablities. Journal of Political Economy 1973, 81:637-654.
    • (1973) Journal of Political Economy , vol.81 , pp. 637-654
    • Black, F.1    Scholes, M.2
  • 11
    • 0040036834 scopus 로고    scopus 로고
    • Asset allocation dynamics and pension fund performance
    • Blake D., Lehmann B.N., Timmermann A. Asset allocation dynamics and pension fund performance. Journal of Business 1999, 72:429-461.
    • (1999) Journal of Business , vol.72 , pp. 429-461
    • Blake, D.1    Lehmann, B.N.2    Timmermann, A.3
  • 12
    • 84882549471 scopus 로고    scopus 로고
    • Joined-Up Pensions Policy: An Asset-Liability Model for Simultaneously Setting the Asset Allocation and Contribution Rate
    • (Ch. 21), Elsevier, S.A. Zenios, W.T. Ziemba (Eds.)
    • Board J., Sutcliffe C. Joined-Up Pensions Policy: An Asset-Liability Model for Simultaneously Setting the Asset Allocation and Contribution Rate. Handbook of Asset and Liability Management, 2007, vol. 2:1029-1067. (Ch. 21), Elsevier. S.A. Zenios, W.T. Ziemba (Eds.).
    • (2007) Handbook of Asset and Liability Management , vol.2 , pp. 1029-1067
    • Board, J.1    Sutcliffe, C.2
  • 13
    • 84895723047 scopus 로고    scopus 로고
    • Retirement investing: A new approach
    • Boston University
    • Bodie Z. Retirement investing: A new approach. Working Paper 2001, Boston University.
    • (2001) Working Paper
    • Bodie, Z.1
  • 14
    • 0031145910 scopus 로고    scopus 로고
    • A hybrid simulation/optimisation scenario model for asset liability management
    • Boender G.C.E. A hybrid simulation/optimisation scenario model for asset liability management. European Journal of Operational Research 1997, 99:126-135.
    • (1997) European Journal of Operational Research , vol.99 , pp. 126-135
    • Boender, G.C.E.1
  • 15
    • 0003499760 scopus 로고
    • World population projections, 1994-95 edition
    • The World Bank, Washington, DC
    • Bos E., Vu M.T., Massiah E., Bulatao R. World population projections, 1994-95 edition. Technical report 1994, The World Bank, Washington, DC.
    • (1994) Technical report
    • Bos, E.1    Vu, M.T.2    Massiah, E.3    Bulatao, R.4
  • 16
    • 0000936972 scopus 로고
    • A dynamic model for bond portfolio management
    • Bradley S.P., Crane D.B. A dynamic model for bond portfolio management. Management Science 1972, 19:139-151.
    • (1972) Management Science , vol.19 , pp. 139-151
    • Bradley, S.P.1    Crane, D.B.2
  • 17
    • 0039218889 scopus 로고
    • Management of commercial bank government security protfolios: An optimization approach under uncertainty
    • Bradley S.P., Crane D.B. Management of commercial bank government security protfolios: An optimization approach under uncertainty. Journal of Bank Research 1973, 4:18-30.
    • (1973) Journal of Bank Research , vol.4 , pp. 18-30
    • Bradley, S.P.1    Crane, D.B.2
  • 18
    • 7544225881 scopus 로고    scopus 로고
    • The use of Treasury bill futures in strategies asset allocation program
    • Cambridge University Press, W.T. Ziemba, J.M. Mulvey (Eds.)
    • Brennan M.J., Schwartz E.S. The use of Treasury bill futures in strategies asset allocation program. Worldwide Asset and Liability Modeling 1998, 205-228. Cambridge University Press. W.T. Ziemba, J.M. Mulvey (Eds.).
    • (1998) Worldwide Asset and Liability Modeling , pp. 205-228
    • Brennan, M.J.1    Schwartz, E.S.2
  • 20
  • 21
    • 35548992113 scopus 로고    scopus 로고
    • Warren Buffett on the stock market
    • December 10
    • Buffett W.B. Warren Buffett on the stock market. Fortune 2001, December 10.
    • (2001) Fortune
    • Buffett, W.B.1
  • 22
    • 84882463999 scopus 로고    scopus 로고
    • What do we know about the risk of individual account pensions? Evidence from industrial countries
    • Brookings Institution
    • Burless G. What do we know about the risk of individual account pensions? Evidence from industrial countries. Working paper 2002, Brookings Institution.
    • (2002) Working paper
    • Burless, G.1
  • 23
    • 0002880064 scopus 로고
    • Efficient market results in an Asian setting
    • Academic Press, San Diego, D.B. Hausch, V. Lo, W.T. Ziemba (Eds.)
    • Busche K. Efficient market results in an Asian setting. Efficiency of Racetrack Betting Markets 1994, 615-616. Academic Press, San Diego. D.B. Hausch, V. Lo, W.T. Ziemba (Eds.).
    • (1994) Efficiency of Racetrack Betting Markets , pp. 615-616
    • Busche, K.1
  • 24
    • 0000956342 scopus 로고
    • An exception to the risk preference anomaly
    • July
    • Busche K., Hall C.D. An exception to the risk preference anomaly. Journal of Business 1988, 61(3):337-346. July.
    • (1988) Journal of Business , vol.61 , Issue.3 , pp. 337-346
    • Busche, K.1    Hall, C.D.2
  • 26
    • 0013441977 scopus 로고    scopus 로고
    • Valuation ratios and the long-run stock market outlook: an update
    • NBER
    • Campbell J.Y., Shiller R.J. Valuation ratios and the long-run stock market outlook: an update. Working paper W8221 2001, NBER.
    • (2001) Working paper W8221
    • Campbell, J.Y.1    Shiller, R.J.2
  • 28
    • 0032115358 scopus 로고    scopus 로고
    • Concepts, technical issues and uses of the Russell-Yasuda Kasai financial planning model
    • Cariño D., Myers R., Ziemba W.T. Concepts, technical issues and uses of the Russell-Yasuda Kasai financial planning model. Operations Research 1998, 46:450-462.
    • (1998) Operations Research , vol.46 , pp. 450-462
    • Cariño, D.1    Myers, R.2    Ziemba, W.T.3
  • 29
    • 0001140797 scopus 로고    scopus 로고
    • Multiperiod asset allocation with derivative assets
    • Cambridge University Press, W. Ziemba, J. Mulvey (Eds.)
    • Cariño D., Turner A.L. Multiperiod asset allocation with derivative assets. World Wide Asset and Liability Modeling 1998, 182-204. Cambridge University Press. W. Ziemba, J. Mulvey (Eds.).
    • (1998) World Wide Asset and Liability Modeling , pp. 182-204
    • Cariño, D.1    Turner, A.L.2
  • 30
    • 0032115323 scopus 로고    scopus 로고
    • Formulation of Russell-Yasuda Kasai financial planning model
    • Cariño D., Ziemba W.T. Formulation of Russell-Yasuda Kasai financial planning model. Operations Research 1998, 46:433-449.
    • (1998) Operations Research , vol.46 , pp. 433-449
    • Cariño, D.1    Ziemba, W.T.2
  • 31
    • 0002341731 scopus 로고
    • The Russell-Yasuda Kasai model: An asset/liability mode for a Japanese insurance company using multistage stochastic programming
    • Cariño D.R., Kent T., Myers D.H., Stacy C., Sylvanus M., Turner A.L., Watanabe K., Ziemba W.T. The Russell-Yasuda Kasai model: An asset/liability mode for a Japanese insurance company using multistage stochastic programming. Interfaces 1994, 24:29-49.
    • (1994) Interfaces , vol.24 , pp. 29-49
    • Cariño, 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
  • 32
    • 84882550382 scopus 로고    scopus 로고
    • MTB Pension asset/liability management model
    • The Frank Russell Company
    • Cariño D., et al. MTB Pension asset/liability management model. Presentation 1997, The Frank Russell Company.
    • (1997) Presentation
    • Cariño, D.1
  • 33
    • 31144445025 scopus 로고    scopus 로고
    • The scenario generation algorithm for multistage stochastic linear programming
    • Casey M.S., Sen S. The scenario generation algorithm for multistage stochastic linear programming. Mathematics of Operations Research 2005, 30(3):615-631.
    • (2005) Mathematics of Operations Research , vol.30 , Issue.3 , pp. 615-631
    • Casey, M.S.1    Sen, S.2
  • 34
    • 84977707412 scopus 로고
    • An empirical comparison of alternative models of the short term interest rate
    • Chan K.C., Karolyi G.A., Longstaff F., Sanders A.B. An empirical comparison of alternative models of the short term interest rate. Journal of Finance 1992, 47:1209-1227.
    • (1992) Journal of Finance , vol.47 , pp. 1209-1227
    • Chan, K.C.1    Karolyi, G.A.2    Longstaff, F.3    Sanders, A.B.4
  • 36
    • 2042499464 scopus 로고
    • The effect of errors in mean, variance and co-variance estimates on optimal portfolio choice
    • Chopra V.K., Ziemba W.T. The effect of errors in mean, variance and co-variance estimates on optimal portfolio choice. Journal of Portfolio Management 1993, 19:6-11.
    • (1993) Journal of Portfolio Management , vol.19 , pp. 6-11
    • Chopra, V.K.1    Ziemba, W.T.2
  • 37
    • 28044473670 scopus 로고    scopus 로고
    • In pursuit of performance: the greatest return stories ever told. Investment insights
    • Clifford S.W., Kroner K.F., Siegel L.B. In pursuit of performance: the greatest return stories ever told. Investment insights. Barclays Global Investor 2001, 4(1):1-25.
    • (2001) Barclays Global Investor , vol.4 , Issue.1 , pp. 1-25
    • Clifford, S.W.1    Kroner, K.F.2    Siegel, L.B.3
  • 41
  • 44
    • 0345923875 scopus 로고    scopus 로고
    • Implied volatility functions: Empirical tests
    • Dumas B., Fleming J., Whaley R.E. Implied volatility functions: Empirical tests. Journal of Finance 1998, 53(6):2059-2106.
    • (1998) Journal of Finance , vol.53 , Issue.6 , pp. 2059-2106
    • Dumas, B.1    Fleming, J.2    Whaley, R.E.3
  • 47
    • 33751071102 scopus 로고    scopus 로고
    • Scenario reduction in stochastic programming. An approach using probability metrics
    • Dupačovà I., Gröwe-Kuska N., Römisch W. Scenario reduction in stochastic programming. An approach using probability metrics. Mathematical Programming, Ser. A 2003, 95:493-511.
    • (2003) Mathematical Programming, Ser. A , vol.95 , pp. 493-511
    • Dupačovà, I.1    Gröwe-kuska, N.2    Römisch, W.3
  • 48
    • 0033468949 scopus 로고    scopus 로고
    • Bound-based approaximations in multistage stochastic programming: nonanticipativity aggregation
    • Edirisinghe N.C.P. Bound-based approaximations in multistage stochastic programming: nonanticipativity aggregation. Annals of Operations Research 1999, 85:103-127.
    • (1999) Annals of Operations Research , vol.85 , pp. 103-127
    • Edirisinghe, N.C.P.1
  • 49
  • 51
    • 0042744970 scopus 로고
    • Bounding the expectation of a saddle function, with application to stochastic programming
    • Edirisinghe N.C.P., Ziemba W.T. Bounding the expectation of a saddle function, with application to stochastic programming. Mathematics of Operations Research 1994, 19:314-340.
    • (1994) Mathematics of Operations Research , vol.19 , pp. 314-340
    • Edirisinghe, N.C.P.1    Ziemba, W.T.2
  • 52
    • 0000131148 scopus 로고    scopus 로고
    • Hedge funds and the collapse of long term capital management
    • Spring
    • Edwards F.R. Hedge funds and the collapse of long term capital management. Journal of Economic Perspectives 1999, 189-210. Spring.
    • (1999) Journal of Economic Perspectives , pp. 189-210
    • Edwards, F.R.1
  • 53
    • 0141831411 scopus 로고    scopus 로고
    • Actuarial versus financial pricing of insurance
    • Embrechts P. Actuarial versus financial pricing of insurance. Journal of Risk Finance 2000, 1(4):17-26.
    • (2000) Journal of Risk Finance , vol.1 , Issue.4 , pp. 17-26
    • Embrechts, P.1
  • 58
    • 84882495886 scopus 로고
    • Rates of return from flat race betting in England in 1973
    • March
    • Figgis E.L. Rates of return from flat race betting in England in 1973. Sporting Life 11 1974, March.
    • (1974) Sporting Life 11
    • Figgis, E.L.1
  • 59
    • 0002667381 scopus 로고
    • What does an option pricing model tell us about option prices
    • Figlewiski S. What does an option pricing model tell us about option prices. Financial Analysts Journal 1989, 45(5):12-15.
    • (1989) Financial Analysts Journal , vol.45 , Issue.5 , pp. 12-15
    • Figlewiski, S.1
  • 60
    • 84882479660 scopus 로고
    • How to lose money in derivatives
    • Winter
    • Figlewiski S. How to lose money in derivatives. Journal of Derivatives 1994, 75-82. Winter.
    • (1994) Journal of Derivatives , vol.75-82
    • Figlewiski, S.1
  • 62
    • 0005091318 scopus 로고    scopus 로고
    • Barycentric scenario trees in convex multistage stochastic programming. Approximation and computation in stochastic programming
    • Frauendorfer K. Barycentric scenario trees in convex multistage stochastic programming. Approximation and computation in stochastic programming. Mathematical Programming, Ser B 1996, 75(2):277-293.
    • (1996) Mathematical Programming, Ser B , vol.75 , Issue.2 , pp. 277-293
    • Frauendorfer, K.1
  • 63
    • 84866676511 scopus 로고    scopus 로고
    • The Innovest Austrian pension fund financial planning model InnoALM
    • UBC
    • Geyer A., Herold W., Kontriner K., Ziemba W.T. The Innovest Austrian pension fund financial planning model InnoALM. Working paper 2002, UBC.
    • (2002) Working paper
    • Geyer, A.1    Herold, W.2    Kontriner, K.3    Ziemba, W.T.4
  • 65
    • 84882485813 scopus 로고
    • Sofasim: A dynamic insurance model with investment structure, policy benefits and taxes
    • Goldstein A.B., Markowitz B.G. Sofasim: A dynamic insurance model with investment structure, policy benefits and taxes. Journal of Finance 1982, 37:595-604.
    • (1982) Journal of Finance , vol.37 , pp. 595-604
    • Goldstein, A.B.1    Markowitz, B.G.2
  • 66
    • 0035521450 scopus 로고    scopus 로고
    • High performance computing for asset liability management
    • Gonzio J., Kouwenberg R. High performance computing for asset liability management. Operations Research 2001, 49:879-891.
    • (2001) Operations Research , vol.49 , pp. 879-891
    • Gonzio, J.1    Kouwenberg, R.2
  • 67
    • 4243706742 scopus 로고    scopus 로고
    • On naive approaches to timing the market: The empirical probability assessment approach with an inflation adapter
    • Cambridge University Press, W.T. Ziemba, J.M. Mulvey (Eds.)
    • Grauer R.R., Hakansson N.H. On naive approaches to timing the market: The empirical probability assessment approach with an inflation adapter. World Wide Asset and Liability Modelling 1998, 149-181. Cambridge University Press. W.T. Ziemba, J.M. Mulvey (Eds.).
    • (1998) World Wide Asset and Liability Modelling , pp. 149-181
    • Grauer, R.R.1    Hakansson, N.H.2
  • 69
    • 0000325978 scopus 로고
    • Odds adjustments by American horse-race bettors
    • Griffin R.M. Odds adjustments by American horse-race bettors. American Journal of Psychology 1947, 62:290-294.
    • (1947) American Journal of Psychology , vol.62 , pp. 290-294
    • Griffin, R.M.1
  • 70
    • 84963089164 scopus 로고
    • The efficiency analysis of choices involving risk
    • Hanoch G., Levy H. The efficiency analysis of choices involving risk. Review of Economic Studies 1969, 36:335-346.
    • (1969) Review of Economic Studies , vol.36 , pp. 335-346
    • Hanoch, G.1    Levy, H.2
  • 71
    • 0004087005 scopus 로고
    • Academic Press, New York, D.B. Hausch, V. Lo, W.T. Ziemba (Eds.)
    • Efficiency of Racetrack Betting Markets 1994, Academic Press, New York. D.B. Hausch, V. Lo, W.T. Ziemba (Eds.).
    • (1994) Efficiency of Racetrack Betting Markets
  • 73
    • 0002674207 scopus 로고
    • Bond pricing and the term structure of interest rates: A new methodology for contingent claims valuation
    • Heath D., Jarrow R., Morton D. Bond pricing and the term structure of interest rates: A new methodology for contingent claims valuation. Econometrica 1992, 60(1):77-105.
    • (1992) Econometrica , vol.60 , Issue.1 , pp. 77-105
    • Heath, D.1    Jarrow, R.2    Morton, D.3
  • 74
    • 0037321577 scopus 로고    scopus 로고
    • Scenario reduction algorithms in stochastic programming. Stochastic programming
    • Heitsch H., Römisch W. Scenario reduction algorithms in stochastic programming. Stochastic programming. Computational Optimization and Applications 2003, 24(2-3):187-206.
    • (2003) Computational Optimization and Applications , vol.24 , Issue.2-3 , pp. 187-206
    • Heitsch, H.1    Römisch, W.2
  • 75
    • 20044367160 scopus 로고
    • A better way to back your assets
    • Sunday, March 31, Section 3 (Business)
    • Henriques D.B. A better way to back your assets. New York Times 1991, 11. Sunday, March 31, Section 3 (Business).
    • (1991) New York Times , pp. 11
    • Henriques, D.B.1
  • 77
    • 0038115163 scopus 로고    scopus 로고
    • How did Clinton stand up to history? US stock market returns and presidential party affiliations
    • Cambridge University Press, D.B. Keim, W.T. Ziemba (Eds.)
    • Hensel C.R., Ziemba W.T. How did Clinton stand up to history? US stock market returns and presidential party affiliations. Security Market Imperfections in World Wide Equity Markets 2000, 203-217. Cambridge University Press. D.B. Keim, W.T. Ziemba (Eds.).
    • (2000) Security Market Imperfections in World Wide Equity Markets , pp. 203-217
    • Hensel, C.R.1    Ziemba, W.T.2
  • 78
    • 77957185556 scopus 로고
    • Some remarks on the moment problem II
    • Heyde C.C. Some remarks on the moment problem II. Quart. J. Math. Oxford Ser. 1963, 14(2):97-105.
    • (1963) Quart. J. Math. Oxford Ser. , vol.14 , Issue.2 , pp. 97-105
    • Heyde, C.C.1
  • 79
    • 15544375153 scopus 로고    scopus 로고
    • Scenario generation for stochastic multi-stage decision processes as facility location problems
    • Department of Statistics and Decision Support Systems, University of Vienna
    • Hochreiter R., Pflug G.C. Scenario generation for stochastic multi-stage decision processes as facility location problems. Technical report 2003, Department of Statistics and Decision Support Systems, University of Vienna.
    • (2003) Technical report
    • Hochreiter, R.1    Pflug, G.C.2
  • 80
    • 0035261934 scopus 로고    scopus 로고
    • Generating scenario trees for multistage decision problems
    • Høyland K., Wallace S.W. Generating scenario trees for multistage decision problems. Management Science 2001, 47:295-307.
    • (2001) Management Science , vol.47 , pp. 295-307
    • Høyland, K.1    Wallace, S.W.2
  • 83
    • 0038139238 scopus 로고    scopus 로고
    • Recovering probability distributions from option prices
    • Jackwerth J.C., Rubinstein M. Recovering probability distributions from option prices. Journal of Finance 1996, 51(5):1611-1631.
    • (1996) Journal of Finance , vol.51 , Issue.5 , pp. 1611-1631
    • Jackwerth, J.C.1    Rubinstein, M.2
  • 84
    • 0002954748 scopus 로고
    • Scenario simulation: theory and methodology
    • Jamshidian F., Zhu Y. Scenario simulation: theory and methodology. Finance and Stochastics 1977, 1:43-76.
    • (1977) Finance and Stochastics , vol.1 , pp. 43-76
    • Jamshidian, F.1    Zhu, Y.2
  • 86
    • 0346265074 scopus 로고    scopus 로고
    • Tracking bond indices in an integrated market and credit risk environment
    • Jobst N.J., Zenios S.A. Tracking bond indices in an integrated market and credit risk environment. Quantitative Finance 2003, 3(2).
    • (2003) Quantitative Finance , vol.3 , Issue.2
    • Jobst, N.J.1    Zenios, S.A.2
  • 87
    • 85040435058 scopus 로고    scopus 로고
    • Risk management lessons from long-term capital management
    • Jorion P. Risk management lessons from long-term capital management. European Financial Management 2000, 6:277-300.
    • (2000) European Financial Management , vol.6 , pp. 277-300
    • Jorion, P.1
  • 90
    • 0000125532 scopus 로고
    • Choices, values and frames
    • Kahneman D., Tversky A. Choices, values and frames. Econometrica 1979, 47:263-291.
    • (1979) Econometrica , vol.47 , pp. 263-291
    • Kahneman, D.1    Tversky, A.2
  • 91
    • 34548296237 scopus 로고
    • Remarks on optimal portfolio selection
    • Oelgeschlager, Gunn and Hain, G. Bamberg, O. Opitz (Eds.)
    • Kallberg J.G., Ziemba W.T. Remarks on optimal portfolio selection. Methods of Operations Research 1981, vol. 44:507-520. Oelgeschlager, Gunn and Hain. G. Bamberg, O. Opitz (Eds.).
    • (1981) Methods of Operations Research , vol.44 , pp. 507-520
    • Kallberg, J.G.1    Ziemba, W.T.2
  • 92
    • 0000624306 scopus 로고
    • Comparison of alternative utility functions in portfolio selection problems
    • Kallberg J.G., Ziemba W.T. Comparison of alternative utility functions in portfolio selection problems. Management Science 1983, 29(11):1257-1276.
    • (1983) Management Science , vol.29 , Issue.11 , pp. 1257-1276
    • Kallberg, J.G.1    Ziemba, W.T.2
  • 93
    • 2042421318 scopus 로고
    • Mis-specifications in portfolio selection problems
    • Springer-Verlag, New York, G. Bamberg, K. Spremann (Eds.)
    • Kallberg J.G., Ziemba W.T. Mis-specifications in portfolio selection problems. Risk and Capital 1984, 74-87. Springer-Verlag, New York. G. Bamberg, K. Spremann (Eds.).
    • (1984) Risk and Capital , pp. 74-87
    • Kallberg, J.G.1    Ziemba, W.T.2
  • 94
    • 0005577586 scopus 로고
    • Short term financial planning under uncertainty
    • Kallberg J.G., White R., Ziemba W.T. Short term financial planning under uncertainty. Management Science 1982, XXVIII:670-682.
    • (1982) Management Science , vol.XXVIII , pp. 670-682
    • Kallberg, J.G.1    White, R.2    Ziemba, W.T.3
  • 95
    • 0008612512 scopus 로고
    • Certainty equivalents for three-point discrete-distribution approximations
    • Keefer D.L. Certainty equivalents for three-point discrete-distribution approximations. Management Science 1994, 40:760-773.
    • (1994) Management Science , vol.40 , pp. 760-773
    • Keefer, D.L.1
  • 96
    • 0020748627 scopus 로고
    • Three-point approximations for continuous random variables
    • Keefer D.L., Bodily S.E. Three-point approximations for continuous random variables. Management Science 1983, 29:595-609.
    • (1983) Management Science , vol.29 , pp. 595-609
    • Keefer, D.L.1    Bodily, S.E.2
  • 100
    • 78049247167 scopus 로고
    • Projecting the financial condition of a pension plan using plan simulation analysis
    • Kingsland L. Projecting the financial condition of a pension plan using plan simulation analysis. Journal of Finance 1982, 37(2):577-584.
    • (1982) Journal of Finance , vol.37 , Issue.2 , pp. 577-584
    • Kingsland, L.1
  • 102
    • 84882502941 scopus 로고    scopus 로고
    • Scenario generation and stochastic programming models for asset liability management
    • Kouwenberg R. Scenario generation and stochastic programming models for asset liability management. European Journal of Operational Research 1999, 134:51-64.
    • (1999) European Journal of Operational Research , vol.134 , pp. 51-64
    • Kouwenberg, R.1
  • 103
    • 24144468915 scopus 로고    scopus 로고
    • Do hedge funds add value to a passive portfolio: Correcting for non-normal returns and disappearing funds
    • Kouwenberg R. Do hedge funds add value to a passive portfolio: Correcting for non-normal returns and disappearing funds. Journal of Asset Management 2003, 3:361-382.
    • (2003) Journal of Asset Management , vol.3 , pp. 361-382
    • Kouwenberg, R.1
  • 105
    • 84903603704 scopus 로고    scopus 로고
    • Numerical comparison of CVAR and CDAR approaches: application to hedge funds
    • Wallace, S.W., Ziemba, W.T. (Eds.), Applications of Stochastic Programming. In: SIAM-Mathematical Programming Series on Optimization
    • Krokhma, P., Uryasev, S., Zrazhevsky, G., 2005. Numerical comparison of CVAR and CDAR approaches: application to hedge funds.In: Wallace, S.W., Ziemba, W.T. (Eds.), Applications of Stochastic Programming. In: SIAM-Mathematical Programming Series on Optimization pp. 609-631.
    • (2005) , pp. 609-631
    • Krokhma, P.1    Uryasev, S.2    Zrazhevsky, G.3
  • 106
    • 0022715033 scopus 로고
    • A bank asset and liability management model
    • Kusy M.I., Ziemba W.T. A bank asset and liability management model. Operations Research 1986, 34(3):356-376.
    • (1986) Operations Research , vol.34 , Issue.3 , pp. 356-376
    • Kusy, M.I.1    Ziemba, W.T.2
  • 108
    • 0008735323 scopus 로고    scopus 로고
    • The three p's of total risk management
    • Lo A. The three p's of total risk management. Financial Analysts Journal 1999, 55(1):13-26.
    • (1999) Financial Analysts Journal , vol.55 , Issue.1 , pp. 13-26
    • Lo, A.1
  • 109
    • 0010694099 scopus 로고    scopus 로고
    • Risk management for hedge funds: introduction and overview
    • Lo A. Risk management for hedge funds: introduction and overview. Financial Analysts Journal 2001, 57(6):16-33.
    • (2001) Financial Analysts Journal , vol.57 , Issue.6 , pp. 16-33
    • Lo, A.1
  • 112
    • 0000436720 scopus 로고
    • Stability of choices among uncertain alternatives
    • McGlothlin W.H. Stability of choices among uncertain alternatives. American Journal of Psychology 1956, 69:604-619.
    • (1956) American Journal of Psychology , vol.69 , pp. 604-619
    • McGlothlin, W.H.1
  • 113
    • 84977421220 scopus 로고
    • Portfolio analysis with factors and scenarios
    • September
    • Markowitz H.M., perold A. Portfolio analysis with factors and scenarios. Journal of Finance 1981, 36(4):871-877. September.
    • (1981) Journal of Finance , vol.36 , Issue.4 , pp. 871-877
    • Markowitz, H.M.1    Perold, A.2
  • 116
    • 70349523762 scopus 로고    scopus 로고
    • Future possibilities in finance theory and finance practice
    • Springer, H. Geman, D. Madan, S.R. Pliska, T. Vorst (Eds.)
    • Merton R.C. Future possibilities in finance theory and finance practice. Mathematical Finance: Bachelier Congress 2000, 47-74. Springer. H. Geman, D. Madan, S.R. Pliska, T. Vorst (Eds.).
    • (2000) Mathematical Finance: Bachelier Congress , pp. 47-74
    • Merton, R.C.1
  • 117
    • 0039270669 scopus 로고    scopus 로고
    • Generating scenarios for the Towers Perrin investment system
    • Mulvey J.M. Generating scenarios for the Towers Perrin investment system. Interfaces 1996, 26:1-13.
    • (1996) Interfaces , vol.26 , pp. 1-13
    • Mulvey, J.M.1
  • 118
    • 0003330076 scopus 로고    scopus 로고
    • The Towers Perrin global capital market scenario generation system
    • Cambridge University Press, W.T. Ziemba, J.M. Mulvey (Eds.)
    • Mulvey J.M., Thorlacius A.E. The Towers Perrin global capital market scenario generation system. World Wide Asset and Liability Management 1998, 286-312. Cambridge University Press. W.T. Ziemba, J.M. Mulvey (Eds.).
    • (1998) World Wide Asset and Liability Management , pp. 286-312
    • Mulvey, J.M.1    Thorlacius, A.E.2
  • 119
    • 0000114960 scopus 로고
    • Stohastic network programming for financial planning problems
    • Mulvey J.M., Vladimirou H. Stohastic network programming for financial planning problems. Management Science 1992, 38(11):1642-1664.
    • (1992) Management Science , vol.38 , Issue.11 , pp. 1642-1664
    • Mulvey, J.M.1    Vladimirou, H.2
  • 124
    • 0013270047 scopus 로고    scopus 로고
    • Scenario tree generation for multiperiod financial optimization by optimal discretization. Mathematical programming and finance
    • Pflug G.Ch. Scenario tree generation for multiperiod financial optimization by optimal discretization. Mathematical programming and finance. Mathematical Programming, Ser. B 2001, 89(2):251-271.
    • (2001) Mathematical Programming, Ser. B , vol.89 , Issue.2 , pp. 251-271
    • Pflug, G.1
  • 125
    • 17644414018 scopus 로고    scopus 로고
    • Handbook of Heavy Tailed Distributions in Finance
    • North-Holland, Z. Rachev (Ed.)
    • Handbook of Heavy Tailed Distributions in Finance. Handbooks in Finance Series 2003, North-Holland. http://www.elsevier.nl/homepage/sae/hf/menu.htm, Z. Rachev (Ed.).
    • (2003) Handbooks in Finance Series
  • 126
    • 26644453167 scopus 로고    scopus 로고
    • Modified risk measures and acceptance sets
    • July, University of Washington
    • Rockafellar T., Ziemba W.T. Modified risk measures and acceptance sets. Mimeo 2000, July, University of Washington.
    • (2000) Mimeo
    • Rockafellar, T.1    Ziemba, W.T.2
  • 127
    • 84882466131 scopus 로고    scopus 로고
    • Enterprise-wide asset and liability management: Issues, institutions, and models
    • North-Holland, Amsterdam, S.A. Zenios, W.T. Ziemba (Eds.) Theory and Methodology
    • Rosen D., Zenios S.A. Enterprise-wide asset and liability management: Issues, institutions, and models. Handbook of Asset and Liability Modeling, vol. 1 2006, 1-23. North-Holland, Amsterdam. S.A. Zenios, W.T. Ziemba (Eds.).
    • (2006) Handbook of Asset and Liability Modeling, vol. 1 , pp. 1-23
    • Rosen, D.1    Zenios, S.A.2
  • 130
    • 0004428620 scopus 로고
    • Stochastic programming models for dedicated portfolio selection
    • Springer-Verlag, Berlin, G.B. Mitra (Ed.) Mathematical Models for Decision Support
    • Shapiro J.F. Stochastic programming models for dedicated portfolio selection. ASI Series, vol. F48 1988, 587-611. Springer-Verlag, Berlin. G.B. Mitra (Ed.).
    • (1988) ASI Series, vol. F48 , pp. 587-611
    • Shapiro, J.F.1
  • 131
    • 84963451964 scopus 로고
    • Convergence to efficiency of the Nikkei put warrant market of 1989-90
    • Shaw J., Thorp E.O., Ziemba W.T. Convergence to efficiency of the Nikkei put warrant market of 1989-90. Applied Mathematical Finance 1995, 2:243-271.
    • (1995) Applied Mathematical Finance , vol.2 , pp. 243-271
    • Shaw, J.1    Thorp, E.O.2    Ziemba, W.T.3
  • 135
    • 0000444608 scopus 로고
    • Moment methods for decision analysis
    • Smith J.E. Moment methods for decision analysis. Management Science 1993, 39:340-358.
    • (1993) Management Science , vol.39 , pp. 340-358
    • Smith, J.E.1
  • 136
    • 84977353252 scopus 로고
    • Horse Racing: Testing the efficient markets model
    • Snyder W.W. Horse Racing: Testing the efficient markets model. Journal of Finance 1978, 33:1109-1118.
    • (1978) Journal of Finance , vol.33 , pp. 1109-1118
    • Snyder, W.W.1
  • 141
    • 0000883742 scopus 로고
    • Anomalies: Parimutuel betting markets: Racetracks and lotteries
    • Thaler R., Ziemba W.T. Anomalies: Parimutuel betting markets: Racetracks and lotteries. Journal of Economic Perspectives 1988, 2:161-174.
    • (1988) Journal of Economic Perspectives , vol.2 , pp. 161-174
    • Thaler, R.1    Ziemba, W.T.2
  • 142
    • 84882534217 scopus 로고    scopus 로고
    • The Kelly criterion in blackjack, sports betting and the stock market
    • North-Holland, Amsterdam, S.A. Zenios, W.T. Ziemba (Eds.) Theory and Methodology
    • Thorp E.O. The Kelly criterion in blackjack, sports betting and the stock market. Handbook of Asset and Liability Modeling, vol. 1 2006, 385-428. North-Holland, Amsterdam. S.A. Zenios, W.T. Ziemba (Eds.).
    • (2006) Handbook of Asset and Liability Modeling, vol. 1 , pp. 385-428
    • Thorp, E.O.1
  • 143
    • 28044448113 scopus 로고    scopus 로고
    • The favorite-longshot bias in S&P 500 futures options: the return to bets and the cost of insurance
    • Sauder School of Business, UBC
    • Tompkins R.G., Ziemba W.T., Hodges S.H. The favorite-longshot bias in S&P 500 futures options: the return to bets and the cost of insurance. Working Paper 2003, Sauder School of Business, UBC.
    • (2003) Working Paper
    • Tompkins, R.G.1    Ziemba, W.T.2    Hodges, S.H.3
  • 144
    • 0347078538 scopus 로고
    • An equilibrium characterization of the term structure
    • Vasicek O. An equilibrium characterization of the term structure. Journal of Financial Economics 1977, 5:177-188.
    • (1977) Journal of Financial Economics , vol.5 , pp. 177-188
    • Vasicek, O.1
  • 146
    • 0347292373 scopus 로고
    • PLASM: Pension liability and asset simulation model
    • Winklevoss H.E. PLASM: Pension liability and asset simulation model. Journal of Finance 1982, 37(2):585-594.
    • (1982) Journal of Finance , vol.37 , Issue.2 , pp. 585-594
    • Winklevoss, H.E.1
  • 149
    • 28044443876 scopus 로고    scopus 로고
    • The symmetric downside risk Sharpe ratio and the evaluation of great investors and speculators
    • Ziemba W.T. The symmetric downside risk Sharpe ratio and the evaluation of great investors and speculators. Journal of Portfolio Management 2005, 108-122.
    • (2005) Journal of Portfolio Management , pp. 108-122
    • Ziemba, W.T.1
  • 152
    • 0003887592 scopus 로고    scopus 로고
    • Cambridge University Press, T. Ziemba, J.M. Mulvey (Eds.)
    • World Wide Asset and Liability Modelling 1998, Cambridge University Press. T. Ziemba, J.M. Mulvey (Eds.).
    • (1998) World Wide Asset and Liability Modelling


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.