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

In: The Adventures of a Modern Renaissance Academic in Investing and Gambling

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  • William T Ziemba

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…

Suggested Citation

  • William T Ziemba, 2017. "Scenario Optimization in Action — The Russell–Yasuda Kasai Financial Planning Model," World Scientific Book Chapters, in: The Adventures of a Modern Renaissance Academic in Investing and Gambling, chapter 17, pages 171-177, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789813148529_0017
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    More about this item

    Keywords

    Financial History; Risk Management; Investment Strategies; Mean Reversion; Risk Arbitrage; Management of Assets;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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