Handbook of Asset and Liability Management, Vol. 2, No. suppl (C) • 2007

ISSN: 1872-0978

doi: 10.1016/S1872-0978(06)02019-9

Chapter 19 The Russell-Yasuda Kasai, InnoALM and Related Models for pensions, insurance companies and high net worth individuals*

William T. Ziemba,

Sauder School of Business, University of British Columbia, Vancouver, BC V6T 1Z2, Canada

Abstract

All institutions and individuals and have asset/liability management problems continuously. Assets must be invested to achieve sufficient returns to pay liabilities and achieve goals subject to uncertainties, policy and legal constraints, taxes, etc. This chapter discusses asset and liability management in the presence of portfolio complexities, such as transaction costs, ...

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