Worldwide Asset and Liability Modeling Book

	Acknowledgements
	List of contributors
	Preface
Pt. I	Introduction
1	Asset and liability management systems for long-term investors: discussion of the issues	3
Pt. II	Static Portfolio Analysis for Asset Allocation
2	The importance of the asset allocation decision	41
3	The effect of errors in means, variances, and covariances on optimal portfolio choice	53
4	Making superior asset allocation decisions: a practitioner's guide	62
Pt. III	Performance Measurement Models
5	Attribution of performance and holdings	87
6	National versus global influences on equity returns	114
7	A global stock and bond model	129
Pt. IV	Dynamic Portfolio Models for Asset Allocation
8	On timing the market: the empirical probability assessment approach with an inflation adapter	149
9	Multiperiod asset allocation with derivative assets	182
10	The use of Treasury bill futures in strategic asset allocation programs	205
Pt. V	Scenario Generation Procedures
11	Barycentric approximation of stochastic interest rate processes	231
12	Postoptimality for scenario based financial planning models with an application to bond portfolio management	263
13	The Towers Perrin global capital market scenario generation system	286
Pt. VI	Currency Hedging and Modeling Techniques
14	An algorithm for international portfolio selection and optimal currency hedging	315
15	Optimal insurance asset allocation in a multi-currency environment	341
Pt. VII	Dynamic Portfolio Analysis with Assets and Liabilities
16	Optimal investment strategies for university endowment funds	371
17	Optimal consumption-investment decisions allowing for bankruptcy: a survey	397
18	Solving stochastic programming models for asset/liability management using iterative disaggregation	427
19	The CALM stochastic programming model for dynamic asset-liability management	464
20	A dynamic model for asset liability management for defined benefit pension funds	501
21	Asset and liability management under uncertainty for fixed income securities	537
Pt. VIII	Case Studies of Implemented Asset-Liability Management Models
22	Modelling and management of assets and liabilities of pension plans in the Netherlands	561
23	Integrated asset-liability management: an implementation case study	581
Pt. IX	Total Integrative Risk Management Models
24	The Russell-Yasuda Kasai model: an asset/liability model for a Japanese insurance company using multistage stochastic programming	609
25	The Home Account Advisor: asset and liability management for individual investors	634