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| Author | : Dwight B. Crane |
| Publisher | : |
| Total Pages | : 40 |
| Release | : 1969 |
| Genre | : |
| ISBN | : |
| Author | : Randall S. Hiller |
| Publisher | : |
| Total Pages | : 18 |
| Release | : 1991 |
| Genre | : |
| ISBN | : |
| Author | : Kyriaki Kosmidou |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 177 |
| Release | : 2006-04-18 |
| Genre | : Business & Economics |
| ISBN | : 1402081057 |
Other publications that exist on this topic, are mainly focused on the general aspects and methodologies of the field and do not refer extensively to bank ALM. On the other hand the existing books on goal programming techniques do not involve the ALM problem and more specifically the bank ALM one. Therefore, there is a lack in the existing literature of a comprehensive text book that combines both the concepts of bank ALM and goal programming techniques and illustrates the contribution of goal programming techniques to bank ALM. This is the major contributing feature of this book and its distinguishing characteristic as opposed to the existing literature. This volume would be suitable for academics and practitioners in operations research, management scientists, financial managers, bank managers, economists and risk analysts. The book can also be used as a textbook for graduate courses of asset liability management, financial risk management and banking risks.
| Author | : Jitka Dupacova |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 394 |
| Release | : 2005-12-30 |
| Genre | : Mathematics |
| ISBN | : 0306481677 |
In Part I, the fundamentals of financial thinking and elementary mathematical methods of finance are presented. The method of presentation is simple enough to bridge the elements of financial arithmetic and complex models of financial math developed in the later parts. It covers characteristics of cash flows, yield curves, and valuation of securities. Part II is devoted to the allocation of funds and risk management: classics (Markowitz theory of portfolio), capital asset pricing model, arbitrage pricing theory, asset & liability management, value at risk. The method explanation takes into account the computational aspects. Part III explains modeling aspects of multistage stochastic programming on a relatively accessible level. It includes a survey of existing software, links to parametric, multiobjective and dynamic programming, and to probability and statistics. It focuses on scenario-based problems with the problems of scenario generation and output analysis discussed in detail and illustrated within a case study.
| Author | : W. T. Ziemba |
| Publisher | : Academic Press |
| Total Pages | : 736 |
| Release | : 2014-05-12 |
| Genre | : Business & Economics |
| ISBN | : 1483273997 |
Stochastic Optimization Models in Finance focuses on the applications of stochastic optimization models in finance, with emphasis on results and methods that can and have been utilized in the analysis of real financial problems. The discussions are organized around five themes: mathematical tools; qualitative economic results; static portfolio selection models; dynamic models that are reducible to static models; and dynamic models. This volume consists of five parts and begins with an overview of expected utility theory, followed by an analysis of convexity and the Kuhn-Tucker conditions. The reader is then introduced to dynamic programming; stochastic dominance; and measures of risk aversion. Subsequent chapters deal with separation theorems; existence and diversification of optimal portfolio policies; effects of taxes on risk taking; and two-period consumption models and portfolio revision. The book also describes models of optimal capital accumulation and portfolio selection. This monograph will be of value to mathematicians and economists as well as to those interested in economic theory and mathematical economics.
| Author | : Stavros A. Zenios |
| Publisher | : Elsevier |
| Total Pages | : 509 |
| Release | : 2006-07-17 |
| Genre | : Business & Economics |
| ISBN | : 0080478204 |
This first volume of the Handbook of Asset and Liability Management presents the theories and methods supporting models that align a firm's operations and tactics with its uncertain environment. Detailing the symbiosis between optimization tools and financial decision-making, its original articles cover term and volatility structures, interest rates, risk-return analysis, dynamic asset allocation strategies in discrete and continuous time, the use of stochastic programming models, bond portfolio management, and the Kelly capital growth theory and practice. They effectively set the scene for Volume Two by showing how the management of risky assets and uncertain liabilities within an integrated, coherent framework remains the core problem for both financial institutions and other business enterprises as well. *Each volume presents an accurate survey of a sub-field of finance*Fills a substantial gap in this field*Broad in scope
| Author | : Tuula Hakala |
| Publisher | : |
| Total Pages | : 125 |
| Release | : 1996 |
| Genre | : Börsväsen |
| ISBN | : 9789517910170 |
| Author | : Michael Alan Howarth Dempster |
| Publisher | : |
| Total Pages | : 600 |
| Release | : 1980 |
| Genre | : Mathematics |
| ISBN | : |
| Author | : W. T. Ziemba |
| Publisher | : World Scientific |
| Total Pages | : 756 |
| Release | : 2006 |
| Genre | : Business & Economics |
| ISBN | : 9812773657 |
A reprint of one of the classic volumes on portfolio theory and investment, this book has been used by the leading professors at universities such as Stanford, Berkeley, and Carnegie-Mellon. It contains five parts, each with a review of the literature and about 150 pages of computational and review exercises and further in-depth, challenging problems. Frequently referenced and highly usable, the material remains as fresh and relevant for a portfolio theory course as ever. Sample Chapter(s). Chapter 1: Expected Utility Theory (373 KB). Contents: Mathematical Tools: Expected Utility Theory; Convexity and the Kuhn-Tucker Conditions; Dynamic Programming; Qualitative Economic Results: Stochastic Dominance; Measures of Risk Aversion; Separation Theorems; Static Portfolio Selection Models: Mean-Variance and Safety First Approaches and Their Extensions; Existence and Diversification of Optimal Portfolio Policies: Effects of Taxes on Risk Taking; Dynamic Models Reducible to Static Models: Models That Have a Single Decision Point; Risk Aversion over Time Implies Static Risk Aversion; Myopic Portfolio Policies; Dynamic Models: Two-Period Consumption Models and Portfolio Revision; Models of Optimal Capital Accumulation and Portfolio Selection; Models of Option Strategy; The Capital Growth Criterion and Continuous-Time Models. Readership: Postdoctoral and graduate students, researchers, academics, and professionals interested in portfolio theory and stochastic optimization.
| Author | : Panya Tantiyavarong |
| Publisher | : |
| Total Pages | : 386 |
| Release | : 1974 |
| Genre | : Bank reserves |
| ISBN | : |
