Portfolio and risk management for central banks and sovereign wealth funds
By: edited by Joachim Coche, Ken Nyholm, Gabriel Petre
Publisher: Palgrave Macmillan
Published: 2011
Place of publication: Houndmills, Basingstoke, Hampshire; New York, NY
Language: eng
Number of pages: 266
ISBN-13: 9780230273535
Subjects: Banks and banking; Risk management; Sovereign wealth funds; Foreign Investments; Portfolio management
Notes: Includes bibliographical references.
Table of contents: title: Asset-liability management for central banks: an overview  -- Wuliya Romanyuk; title: A dynamic behavioral approach to strategic asset allocation: living with uncertainty and diverse objectives  -- José Luiz Barros Fernandes and Paulo Maurício Fonseca de Cacella; title: Dynamic strategic asset allocation: the efficient use of conditional expected returns  -- Chris Jeffrey, Koye Somefun, and Emiel van den Heiligenbert; title: Inflation hedging for long-term investors  -- Alexander P. Attié and Shaun K. Roache; title: Active portfolio management of currency baskets  -- Alejandro Reveiz; title: The Black-Litterman model in central bank practice  -- Tihomir Petrović; title: Liquidity, risk management, and the credit crisis of 2007-2009  -- Bennett W. Golub and Conan C. Crum; title: Alternative investments in SWF and central bank portfolios  -- Sameer Jain and Kenneth Acuña; title: Forecasting a large dimensional covariance matrix of a portfolio of different asset classes  -- Lillie Lam, Laurence Fung, and Ip-Wing Yu; title: A performance attribution methodology for fixed income portfolios  -- Jose Renato Ornelas ... [et al.]; title: A sovereign asset-liability framework with multiple risk factors for external reserves management: Reserve Bank of India  -- Himadri Bhattacharya, Jerome Kreuser, and Silvaprakasam Sivakumar; title: The Zeus project: a financial tool for public investors -- Isabela Ribeiro Damaso Maia and Paulo Maurício Fonseca de Cacella.