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The Stochastic Programming Approach to Asset, Liability, and - download pdf or read online

By William T. Ziemba

ISBN-10: 0943205654

ISBN-13: 9780943205656

All participants and associations face asset/liability administration difficulties on a continuing foundation. The resources needs to be invested through the years to accomplish enough returns to hide liabilities and attain ambitions topic to varied uncertainties, coverage and criminal.

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Extra resources for The Stochastic Programming Approach to Asset, Liability, and Wealth Management

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Bond–stock yield differential mean and standard deviation calculated for October 1994–August 1998. Source: Based on data from Berge and Ziemba (2003). 2. The extent of such danger measures also suggests that the entire distribution from which scenarios are drawn should be shifted left toward lower and more volatile returns. We know that volatility increases as markets decline. Koivu, Pennanan, and Ziemba (2003) showed one way to create better scenarios. 3. 15). 11. The Toronto Stock Exchange, February 1998–January 2003 Index Value 12,000 10,000 8,000 6,000 4,000 2/98 2/99 2/00 2/01 2/03 1/03 of deflation (see, for example, Smith 1924).

Modify the output and put minimum and maximum constraints on asset weights to prevent the optimization from jumping on estimation errors; 2. Modify the input to adjust for short-term momentum (over the next year) and long-term (over the past 5–10 years) mean reversion of asset mean returns. Adjustments that have worked well are (a) to shrink individual country estimates toward global estimates using James–Stein, Bayes– Stein, or truncated estimators (see MacLean, Foster, and Ziemba 2002; Hensel and Turner 1998; and Jorion 1985) and (b) to assume that assets that are similar should have similar mean returns over long-term horizons.

6 The S&P 500 fell to 1,085 on 17 September 2000, prior to 9/11. 8 shows the decline following 9/11. 7 Long-term mean reversion indicates that the 1996–2000 S&P 500 values were too high relative to 1991–1995, and a linear interpolation of the latter period gives a value close to that in May 2003. 8 This occurrence is shown in Figure 1 in Appendix B (p. pdf. 5. Bond–Stock Yield Differential Model for the S&P 500, 1995–99 S&P 500 P/E (a) 30-Yr. Govt. 5. Year/Month 1998 Jan Bond–Stock Yield Differential Model for the S&P 500, 1995–99 (continued) S&P 500 P/E (a) 30-Yr.

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The Stochastic Programming Approach to Asset, Liability, and Wealth Management by William T. Ziemba


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