Optimizing the Aging, Retirement, and Pensions Dilemma / Wiley Finance Editions (PDF)

Acknowledgements. Preface. Part I: The ageing population: Issues for Retirement. 1 Issues in retirement. 2 The various costs of pensions: macro and micro. 3 The various pillars of retirement. 4 Asset classes: historical performance and risk. 5 The current economic crisis and its impact on retirement decisions. Part II: Special Issues and Models. 6 The impact of population ageing on household portfolios and asset Returns. 7 A continuous time approach to asset liability surplus management. 8 Should Defined Benefit Pension Schemes be Career Average or Final Salary? 9 Applying Stochastic Programming to the U.S. Defined Benefit Pension System. 10 Mortality linked securities and derivatives. 11 Asset allocation and governance issues of government owned Pensions. 12 Retirement ALM. Part III: Modeling the issues. 13 Learning from other models. 14 The Innovest Austrian Pension Fund Financial Planning Model. 15 An Individual ALM Model for Lifetime Asset Liability Management. 16 Implementation and Numerical Results of Individual ALM Model for Lifetime Asset Liability Management. 17 Conclusions.

MARIDA BERTOCCHI is Professor of Portfolio Theory, University of Bergamo. She taught numerous courses at the Universities of Bergamo, Urbino and Milan, including basic and advanced calculus, mathematical finance, advanced mathematical finance, stochastic optimization, and parallel processing. Bertocchi has been Dean of the Faculty of Economics and Business Administration and is the Director of the Department of Mathematics, Statistics, Computer Science and Applications, University of Bergamo. She is the author of numerous publications on bond portfolio management, asset allocation, quantitative finance, and economic and financial applications.

SANDRA L. SCHWARTZ received her interdisciplinary PhD from the University of British Columbia in commerce, economics, and ecology. She has taught business policy, business and society, and topics in research and development and applied economics at Berkeley, UCLA, Tsukuba, UBC, and Simon Fraser. Schwartz designed programs and courses for the Open University of BC. She is the author of a number of books on energy policy, Japanese management and economy, and other topics, as well as numerous articles.

WILLIAM T. ZIEMBA is the Alumni Professor of Financial Modeling and Stochastic Optimization (Emeritus), University of British Columbia. He is a well-known academic with books, research articles, and talks on various investment topics and a columnist for Wilmott magazine. Ziemba has visited and lectured at MIT, University of Chicago, Berkeley, UCLA, Cambridge, LSE, Oxford, and the ICMA Centre. He trades through William T. Ziemba Investment Management Inc. He has consulted for various financial institutions including hedge funds, pension, and other investment institutions.

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