Return targets and shortfall risks : studies in strategic asset allocation /
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| Author / Creator: | Leibowitz, Martin L., 1936- |
|---|---|
| Imprint: | Chicago, IL : Irwin Professional Pub., 1996. |
| Description: | xxi, 502 p. |
| Language: | English |
| Subject: | |
| Format: | Print Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/2354773 |
Table of Contents:
- Ch. 1. Introduction
- Ch. 2. Asset Allocation under Shortfall Constraints
- Ch. 3. Asset Performance and Surplus Control: A Dual-Shortfall Approach
- Ch. 4. Asset Allocation under Liability Uncertainty
- Ch. 5. "Optimal" Portfolios Relative to Benchmark Allocations
- Ch. 6. Total Portfolio Duration and Relative Returns
- Ch. 7. Return Targets, Shortfall Risks, and Market Realities
- Ch. 8. Interest-Rate Sensitive Asset Allocation: A New Approach to Strategic Asset Allocation
- Ch. 9. Strategic Allocation under Changing Market Conditions
- Ch. 10. Funding Ratio Return: A More "Universal Measure for Asset/Liability Management
- Ch. 11. Pension Fund Risk Capacity: Surplus and Time-Horizon Effects on Asset Allocation
- Ch. 12. The Opportunity for Greater Flexibility in the Bond Component: The Total Fund Effect
- Ch. 13. Benchmark Departures and Total Fund Risk: A Second Dimension of Diversification
- Ch. 14. The Hierarchy of Benchmarks: Structuring Retirement Fund Risk
- Ch. 15. A Shortfall Approach to Duration Management
- Ch. 16. Statistical Duration: A Spread Model of Rate Sensitivity across Fixed-Income Sectors
- Ch. 17. The Spread Curve and the Risk/Return Decision: Structuring Fixed-Income Portfolios for Treasury Benchmarks
- Ch. 18. The Spread Curve and a Mixed-Sector Benchmark: Structuring Fixed-Income Portfolios for Relative Performance
- Ch. 19. Spread Immunization: Portfolio Improvements through Dollar-Duration Matching
- Ch. 20. Yield-Curve Positioning for Multisector Bond Portfolios
- Ch. 21. Global Fixed-Income Investing: The Impact of the Currency Hedge
- Ch. 22. Interest-Rate Risks in Currency-Hedged Bond Portfolios
- Ch. 23. The Volatility of Hedged Global Fixed-Income Investments
- Ch. 24. The Duration of Hedged Global Fixed-Income Investments
- Ch. 25. Global Fixed-Income Investments: The Persistence Effect.