Scenario Optimization in Action — The Russell–Yasuda Kasai Financial Planning Model

William T Ziemba

Chapter 17 in The Adventures of a Modern Renaissance Academic in Investing and Gambling, 2017, pp 171-177 from World Scientific Publishing Co. Pte. Ltd.

Abstract: It was the fall of 1989 and we had just returned to Vancouver from Japan. The phone rang with a call from the Frank Russell Corporation in Tacoma, Washington about helping them with a financial planning model for Yasuda Kasai, a major Japanese insurance company. Russell was run by George Russell, the son of Frank and George had turned the business into a tremendous consulting operation. The basic business had just 40 clients such as IBM, Shell and the like but they all had huge company pensions. What Russell did was to recommend to those companies organizations to manage their monies for a small percentage fee. But the size was huge so this was very profitable. Other businesses included running their own portfolios and some specific projects. One of the latter was the model for Yasuda Kasai. They had worked on this for 9 months with little success…

Keywords: Financial History; Risk Management; Investment Strategies; Mean Reversion; Risk Arbitrage; Management of Assets (search for similar items in EconPapers)
JEL-codes: G11 (search for similar items in EconPapers)
Date: 2017
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.worldscientific.com/doi/pdf/10.1142/9789813148529_0017 (application/pdf)
https://www.worldscientific.com/doi/abs/10.1142/9789813148529_0017 (text/html)
Ebook Access is available upon purchase.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:wschap:9789813148529_0017

Ordering information: This item can be ordered from

Access Statistics for this chapter

More chapters in World Scientific Book Chapters from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().