Interest rate models, asset allocation and quantitative techniques for central banks and sovereign wealth funds
By: edited by Arjan B. Berkelaar, Joachim Coche, Ken Nyholm
Publisher: Palgrave Macmillan
Published: 2010
Place of publication: Basingstoke, UK; New York
Language: eng
Number of pages: 366
ISBN-13: 9780230240124
Description: "This edited volume contains essential readings for financial analysts and market practitioners working at Central Banks and Sovereign Wealth Funds. It presents the reader with state-of-the-art methods that are directly implementable, and industry 'best-practices' as followed by leading institutions in their field"--Provided by publisher.
Notes: Includes bibliographical references and index.
Table of contents: title: Combining Canadian interest rate forecasts / David Jamieson Bolder and Yuliya Romanyuk; title: Updating the yield curve to analyst's views / Leonardo M. Nogueira; title: A spread-risk model for strategic fixed-income investors / Fernando Monar Lora and Ken Nyholm; title: Dynamic management of interest rate risk for central banks and pension funds / Arjan B. Berkelaar and Gabriel Petre; title: A strategic asset allocation methodology using variable time horzon / Paulo Maurício F. de Cacella, Isabela Ribeiro Damaso and Antônio Francisco da Silva, Jr.; title: Hidden risks in mean-variance optimization : an integrated-risk asset allocation proposal / José Luiz Barros Fernandes and José Renato Haas Ornelas; title: Efficient portfolio optimization in the wealth creation and maximum drawdown space / Alejandro Reveiz and Carlos León; title: Copulas and risk measures for strategic asset allocation : a case study for central banks and sovereign wealth funds / Cyril Caillault and Stéphane Monier; title: Practical scenario-dependent portfolio optimization : a framework to combine investor views and quantitative discipline into acceptable portfolio decisions / Roberts L. Grava; title: Strategic tilting around the SAA benchmark / Aaron Drew ... [et al.]; title: Optimal construction of a fund of funds / Petri Hilli, Matti Koiva and Teemu Pennanen; title: Mortgage-backed securities in a strategic asset allocation framework / Myles Brennan and Adam Kobor; title: Quantitative portfolio strategy : including US MBS in global treasury portfolios / Lev Dynkin, Jay Hyman and Bruce Phelps; title: Volatility as an asset class for long-term investors / Marie Brière, Alexander Burgues and Ombretta Signori / A frequency domain methodology for time series modelling / Hens Steehouwer; title: Estimating mixed frequency data : stochastic interpolation with preserved covariance structure / Tørres G. Trovik and Couro Kane-Janus; title: Statistical inference for Sharpe ratio / Friedrich Schmid and Rafael Schmidt.