[PDF][PDF] Asset allocation under shortfall constraints

ML Leibowitz, S Kogelman - The Journal of …, 1991 - ressources-actuarielles.net
… Few professional investors are able to observe callmly and passively while high volatility
buffets their portfolio’s value over the short run, and most fund sponsors control overall risk by …

Asset performance and surplus control: A dual-shortfall approach

ML Leibowitz, S Kogelman… - Journal of Portfolio …, 1992 - search.proquest.com
To achieve a reasonable balance between asset and surplus shortfall risks, a methodology
is presented for applying simultaneous shortfall constraints on both the asset performance …

Inside the P/E Ratio: the Franchise factor

ML Leibowitz, S Kogelman - Financial Analysts Journal, 1990 - Taylor & Francis
This article looks" inside" the DDM-based price/earnings ratio and provides a surprisingly
simple model of the future investment opportunities required to support an above-market PIE. …

Stability of spatially periodic supercritical flows in hydrodynamics

S Kogelman, RC DiPrima - The Physics of Fluids, 1970 - pubs.aip.org
Recently, Eckhaus developed a theory for a class of nonlinear stability problems which can
be formulated in terms of a scalar partial differential equation with quadratic nonlinearities. It …

Funding ratio return.

ML Leibowitz, S Kogelman - Journal of portfolio management, 1994 - elibrary.ru
Funding ratio return. КОРЗИНА ПОИСК НАВИГАТОР ЖУРНАЛЫ КНИГИ ПАТЕНТЫ
ПОИСК АВТОРЫ ОРГАНИЗАЦИИ КЛЮЧЕВЫЕ СЛОВА РУБРИКАТОР Начальная …

Asymptotic solutions of initial value problems for nonlinear partial differential equations

JB Keller, S Kogelman - SIAM Journal on Applied Mathematics, 1970 - SIAM
1. Introduction. Let us consider the solution u (x, t, e) of an initial value problem for a nonlinear
partial differential equation in which the nonlinearity is proportional to a parameter e. We …

Resolving the equity duration paradox

ML Leibowitz, S Kogelman - Financial Analysts Journal, 1993 - Taylor & Francis
… Leibowitz and S. … N Bader and S. Kogelman, "Total Portfolio Duration and Relative
Returns" (Salomon Brothers Inc, August 1992); and M L. Leibowitz, E Sorensen, …

Duration targeting and the management of multiperiod returns

…, ML Leibowitz, S Kogelman - Financial Analysts …, 1990 - Taylor & Francis
… where R(S) is the interest rate, dR(S) is the change in interest rate and D(S) is the duration
of the bond portfolio, all at time S. Equation (A1) holds exactly for zero-coupon bonds but only …

Long-term bond returns under duration targeting

ML Leibowitz, A Bova, S Kogelman - Financial Analysts Journal, 2014 - Taylor & Francis
… Our model’s results are confirmed by both a random walk … With a fixed zero-coupon bond
duration, each year’s yield … annual accrual rate rises with each year’s higher level of yields, the …

The franchise factor for leveraged firms

ML Leibowitz, S Kogelman - Financial Analysts Journal, 1991 - Taylor & Francis
In a world without taxes, leverage or uncertainty, the theoretical pricelearnings ratio (PIE) can
be expressed as the sum of two components-a base PIE and a franchise PIE. The base PIE …