Author: H. Gifford Fong

Publisher: World Scientific Publishing Company

Pages: 232 pages

ISBN:9812565175

PDF file, 9,3 Mb
 

CONTENTS
Introduction vii
Practitioner’s Digest ix
Chapter 1 1
Design of Financial Systems: Towards a Synthesis of Function
and Structure
Robert C. Merton and Zvi Bodie
Chapter 2 29
Asset/Liability Management and Enterprise Risk Management of
an Insurer
Thomas S. Y. Ho
Chapter 3 47
It’s 11 pm—Do You Know Where Your Liquidity Is?
The Mean–Variance–Liquidity Frontier
AndrewW. Lo, Constantin Petrov and MartinWierzbicki
Chapter 4 93
Time Diversification
Jack L. Treynor
Chapter 5 111
A Practical Framework for Portfolio Choice
Richard O. Michaud
Chapter 6 131
A Markov Chain Monte Carlo Method for Derivative Pricing
and Risk Assessment
Sanjiv R. Das and Alistair Sinclair
Chapter 7 151
Active Risk and Information Ratio
Edward Qian and Ronald Hua
Chapter 8 169
The Year-End Price of Risk in a Market for Liquidity
Mark D. Griffiths and Drew B.Winters
Chapter 9 183
Resampled Frontiers versus Diffuse Bayes: An Experiment
Harry M. Markowitz and Nilufer Usmen
Chapter 10 203
Fund Managers May Cause Their Benchmarks to be Priced “Risks”
Michael Stutzer

[此贴子已经被作者于2008-3-5 12:48:15编辑过]