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1. Introduction
2. General approach
3. Other approaches
4. Discrete probability scenarios
5. Academic references
6. Mean variance models (1)
7. Mean variance models (2)
8. The importance of getting the mean right
9. Errors in means, variances and covariances
10. Mean percentage cash equivalent loss
11. Average turnover
12. Optimization
13. Modeling asset liability problems
14. Possible approaches to model situations
15. Asset proportions: not practical
16. Stochastic programming approach (1)
17. Stochastic programming approach (2)
18. Stochastic programming approach (3)
19. Stochastic programming approach (4)
20. Frank Russell ALM models
21. Exact models and stochastic programming
22. Stochastic programming versus fixed mix
23. A shortfall cost function: target 4 percent a year
24. Means, variances & covariances, 6 asset classes
25. Scenarios used to represent future outcomes
26. Scenarios in three periods
27. Example scenario outcomes listed by node
28. Comparing of two strategies
29. Optimal stochastic strategy vs. fixed-mix strategy
30. Example portfolios
31. Stochastic dynamic versus fixed mix models
32. Advantages of stochastic programming
33. The Russell-Yasuda Kasai model (1)
34. Computation difficulties
35. Why the SP model was needed
36. The Yasuda fire and marine insurance company
37. Convex piecewise linear risk measure
38. Convex risk measure (1)
39. Axiomatic development of convex risk measures
40. Convex risk measures (2)
41. Acceptance sets and risk measures
42. Generalized scenarios
43. Model constraints and results
44. Multistage stochastic linear programming structure
45. The Russell-Yasuda Kasai model (2)
46. The schematic layout of the model
47. Stochastic linear programs
48. The dimensions of the implemented problem
49. Yasuda Kasai’s decision-making process
50. Situation faced by Yasuda fire and marine
51. Asset classes for the Russell-Yasuda Kasai model
52. Expected allocations in the initialization period
53. Expected allocations in the end-effects period
54. In summary

Topics Covered

• Portfolio theory and practice
• Effect of paramater errors
• Convex risk measures
• Scenario optimization
• Asset liability management
• Pension funds
• Retirement
• Siemens Austria pension fund

Links

Series:

• Risk Management for Sovereign Institutions

Categories:

• Finance, Accounting & Economics

Talk Citation

Publication History

• Published on November 5, 2013