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dc.contributor.author
Kallianta, Maria
en
dc.date.accessioned
2016-05-07T09:36:56Z
dc.date.available
2016-05-08T00:00:20Z
dc.date.issued
2016-05-07
dc.identifier.uri
https://repository.ihu.edu.gr//xmlui/handle/11544/14504
dc.rights
Default License
dc.subject
Asset Liability Management
en
dc.subject
Portfolios
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dc.subject
Mean - Variance approach
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dc.subject
Techniques
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dc.title
"Asset Liability Management"
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heal.type
masterThesis
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heal.creatorID.email
makallianta@gmail.com
heal.generalDescription
This dissertation attends to provide useful tools for Asset Management. We implement Asset Liability management methods in some portfolios, compared to mean-variance approach. The results approve that Asset Liability Management is the most proper and effective strategy for the construction of portfolios in which the risks are eliminated.
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heal.keywordURI.LCSH
Asset-liability management.
heal.keywordURI.LCSH
Asset-liability management--Case studies
heal.keywordURI.LCSH
Portfolio management
heal.keywordURI.LCSH
Investment analysis.
heal.language
en
el
heal.access
free
el
heal.license
http://creativecommons.org/licenses/by-nc/4.0
el
heal.references
Papers: Amenc, N., Martellini, L. and Ziemann, V. (2009). Inflation - Hedging Properties of Real Assets and Implications for Asset – Liability Management Decisions. The Journal of Portfolio Management, 35(4), pp.94 - 110. Arjan Berkelaar and Roy Kouwenberg (2 010). A liability - relative drawdown approach to pension asset liability management. Journal of Asset Management (2010) 11, 194 – 217. Basak S.and Makarov D. (2014) Strategic Asset Allocation in Money Management. The journal of finance VOL. LXIX, No. 1 Berk elaar, A. and Kouwenberg, R. (2010). A liability - relative drawdown approach to pension asset liability management. J Asset Manag, 11(2 - 3), pp.194 - 217. Carstina S., and Siminica M. (2011). “Mathematical and Economic Modeling of the Results of Correlation Be tween Indicators of Profitability and Asset Management” Chakroun, F. and Abid, F. (n.d.). A Multiobjective Model for Bank Asset Liability Management: The Case of a Tunisian Bank. SSRN Electronic Journal. Chellaturai T. and Draviam T. (2008). Markowitz prin ciples for multi - period portfolio selection problems with moments of any order. Published online Dash Jr, Gordon H., and Nina Kajiji. "A nonlinear goal programming model for efficient asset - liability management of property - liability insurers." INFOR 43.2 ( 2005): 135 Giokas, D. and Vassiloglou, M. (1991). A goal programming model for bank assets and liabilities management. European Journal of Operational Research, 50(1), pp.48 - 60. 38 Guglielmo R. (2010). Asset/Liability Management in a New Era of Regulatory Scr utiny Jones, T. and Brown, J. (2009). Integrating Asset - Liability Risk Management with Portfolio Optimization for Individual Investors. Wealth Management, 12(3), pp.51 - 60. Kosmidou, Kyriaki, and Constantin Zopounidis. "Combining goal programming model with simulation analysis for bank asset liability management." INFOR 42.3 (2004): 175. Kouwenberg Roy. (2000) “High - performance computing for Asset - Liability Management” Lileikienė, Angelė. "Analysis of Chosen Strategies of Asset and Liability Management in Commercial Banks." Engineering Economics 57.2 (2015). Mazzola, P. and Gerace, D. (2015). A Comparison Between a Dynamic and Static Approach to Asset Management Using CA PM Models on the Australian Securities Market. AABFJ, 9(2), pp.43 - 58. Reveiz, A. and Leon, C. (2008) Efficient Portfolio Optimization in the Wealth Creation and Maximum Drawdown Space. Banco de la Republica de Colombia.Technical report. Ryan J. (2013). The Evolution of Asset/Liability Management (a summary) Sharpe F., Tint G. (1990) Liabilities - A new approach. Journal of portfolio management 16, 2 ABI/INFORMGLOBAL pg.5 Toms, S. (2014). Accounting - based Risk Management and the Capital Asset Pricing Model: An Empirical Comparison. Australian Accounting Review, 24(2), pp.127 - 133. Topaloglou, N. (2014). Minimizing bank liquidity risk: evidence from the Lehman crisis. Eurasian Business Review, 5(1), pp.23 - 44. 39  Books: Bodie Z., Kane A and Marcus A. “Investments”, Global Edition, The McGraw - Hill, 2014 Bodie Z., Kane A and Marcus A. “Essentiaals of Investments”. The McGraw - Hill, 2008 Cuthbertson K. and Nitzsche D. “INVESTMENTS Spot and Derivatives Markets”, Wiley, 2001  Internet: http://www.economicshelp.org/blog/264 7/economics/history - of - inflation - in - uk/ http://www.riskencyclopedia.com/articles/asset - liability - management/ http://www.economicshelp.org/blog/1485/interest - rates/historical - real - interest - rate/ https://www.fedpartnership.gov/bank - life - cycle/start - a - bank/as set - liability - management - committee http://www.investopedia.com/terms/b/boli.asp https://www.communitybankingconnections.org/articles/2014/q2/bank - owned - life - insurance http://www.investopedia.com/terms/a/assetmanagement.asp https://en.wikipedia.org/wiki/Ass et_management https://en.wikipedia.org/wiki/Management_Systems_International http://www.wipo.int/copyright/en/management/ http://www.investopedia.com/terms/c/collective - investment - fund.asp?optm=sa_v1 40 http://keydifferences.com/difference - between - assets - and - liabilities.html http://www.investopedia.com/terms/g/gap - analysis.asp http://www.investopedia.com/terms/m/marketrisk.asp https://en.wikipedia.org/wiki/Financial_market
el
heal.recordProvider
School of Economics, Business Administration and Legal Studies, MSc in Banking and Finance
el
heal.publicationDate
2016-02-08
heal.abstract
This dissertation attends to provide useful tools for Asset Management. Therefore, it is highlighted the usefulness of asset Liability Management. To reach this goal we implement Asset Liability management methods in some portfolios, compared to mean - variance approach. There is ample evidence from many practitioners who strongly support the importance of the aforementioned technique.Our findings reveal the Asset Liability Management as the most proper and effective strategy for the construction of portfolios in which the risks are eliminated.
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heal.tableOfContents
ABSTRACT PREFACE CONTENTS CHAPTER 1: INTRODUCTION 1. ASSET LIABILITY MANAGEMENT 1.1. Contribution of ALM to Pension Fund 1.2. Construction and Techniques of Asset Liability Management Policy 1.3.Supervision of Asset Liability Management-ALCO 2. ASSET MANAGEMENT 2.1. Techniques of Asset Management 3. DIFFERENCES BETWEEN ASSTE LIABILITY MANAGEMENT AND ASSET MANAGEMENT CHAPTER 2: LITERATURE REVIEW CHAPTER 3: METHODOLOGY AND DATA METHODOLOGY RESULTS CONCLUSIONS REFERENCES APPENDIX
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heal.advisorName
Angelidis, Timotheos
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heal.committeeMemberName
Archontakis, Fragiskos
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heal.committeeMemberName
Grose, Christos
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heal.committeeMemberName
Angelidis, Timotheos
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heal.academicPublisher
IHU
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heal.academicPublisherID
ihu
el
heal.numberOfPages
80
el
heal.temporalCoverage
"1992-2014"
en


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