Interest rate models, asset allocation and quantitative techniques for central banks and sovereign wealth funds /
"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 leadi...
| Other Authors: | , , |
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| Format: | Book |
| Language: | English |
| Published: |
Basingstoke, UK ; New York :
Palgrave Macmillan,
2010.
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| Subjects: |
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.