Description |
xxxix, 366 pages : illustrations ; 23 cm |
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 |
Summary |
"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 |
Bibliography |
Includes bibliographical references and index |
Subject |
Asset-liability management.
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Interest rates.
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Asset allocation.
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Banks and banking, Central -- Management.
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Financial institutions -- Investments.
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Author |
Berkelaar, Arjan B.
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Coche, Joachim, 1967-
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Nyholm, Ken.
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LC no. |
2009045307 |
ISBN |
9780230240124 hardback |
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0230240127 hardback |
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