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"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.
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Interest rate models, asset allocation and quantitative techniques for central banks and sovereign wealth funds
2010, Palgrave Macmillan
in English
0230240127 9780230240124
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Table of Contents
Combining Canadian interest rate forecasts / David Jamieson Bolder and Yuliya Romanyuk
Updating the yield curve to analyst's views / Leonardo M. Nogueira
A spread-risk model for strategic fixed-income investors / Fernando Monar Lora and Ken Nyholm
Dynamic management of interest rate risk for central banks and pension funds / Arjan B. Berkelaar and Gabriel Petre
A strategic asset allocation methodology using variable time horzon / Paulo Maurício F. de Cacella, Isabela Ribeiro Damaso and Antônio Francisco da Silva, Jr.
Hidden risks in mean-variance optimization : an integrated-risk asset allocation proposal / José Luiz Barros Fernandes and José Renato Haas Ornelas
Efficient portfolio optimization in the wealth creation and maximum drawdown space / Alejandro Reveiz and Carlos León
Copulas and risk measures for strategic asset allocation : a case study for central banks and sovereign wealth funds / Cyril Caillault and Stéphane Monier
Practical scenario-dependent portfolio optimization : a framework to combine investor views and quantitative discipline into acceptable portfolio decisions / Roberts L. Grava
Strategic tilting around the SAA benchmark / Aaron Drew ... [et al.]
Optimal construction of a fund of funds / Petri Hilli, Matti Koiva and Teemu Pennanen
Mortgage-backed securities in a strategic asset allocation framework / Myles Brennan and Adam Kobor
Quantitative portfolio strategy : including US MBS in global treasury portfolios / Lev Dynkin, Jay Hyman and Bruce Phelps
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
Estimating mixed frequency data : stochastic interpolation with preserved covariance structure / Tørres G. Trovik and Couro Kane-Janus
Statistical inference for Sharpe ratio / Friedrich Schmid and Rafael Schmidt.
Edition Notes
Includes bibliographical references and index.
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