Many models in this volume can be used in solving portfolio problems, in assessing forecasts, in understanding the possible effects of shocks and disturbances.
Inhaltsverzeichnis
Insurance and Risk Management.- Single and Periodic Premiums for guaranteed Equity-Linked Life Insurance under Interest-Rate Risk: The Lognormal+Vasicek Case.- Solvency-Simulation in Non-Life Insurance.- A Multicriteria Classification: An Application to Italian Mutual Funds.- Asset Liability Matching for Pension Funds: A One-Period Model.- Asset Risk in a Liability Context: An Empirical Study for the Netherlands.- Bank Strategic Planning Process. A Multifactor Asset and Liability Risk Management Approach.- Index Tracking: Some Techniques and Results.- Stock Market Theory.- Expectations and News in an Imitative Stock-Market.- An Artificial Adaptive Speculative Stock Market.- Valuation of the Embedded Prepayment Option of Mortgage-Backed Securities.- The Effects on Optimal Portfolios of Shifts on a Risk Asset: The Case of Dependent Risky Returns.- Corporate Investment and Dividend Decisions under Differential Personal Taxation: A Note to Masulis and Trueman s Model.- A Decision Support System for the Evaluation of Bond Options in Imperfect Markets.- Pure Capital Rationing Problems: How to Bury Them and Why.- Pricing and Bargaining in Financial Markets.- APV Sensitivity with Respect to Interest Rates Fluctuations.- A Note on the Existence of Equilibrium Price Measures.- Bond Pricing through Bargaining.- Financial Markets Testing.- Risk Measurement and Size Effect on the Dutch Stock Market.- Conditional Risk and Predictability of Finnish Stock Returns.- Linear Models for Portfolio Selection and their Application to the Milano Stock Market.- Currency Markets.- When to use Currency Swaps. Determining the Expected Profit and Variance.- Currency Forecasting: An Investigation into Probability Judgement Accuracy.
