An edition of Interest rate models, asset allocation and quantitative techniques for central banks and sovereign wealth funds (2010)

Interest rate models, asset allocation and quantitative techniques for central banks and sovereign wealth funds

by , , and

Cover of: Interest rate models, asset allocation and quantitative techniques for central banks and sovereign wealth funds by Arjan B. Berkelaar, Joachim Coche, Ken Nyholm, Arjan B. Berkelaar, Joachim Coche, Ken Nyholm
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Last edited by LC Bot
July 23, 2011 | History
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An edition of Interest rate models, asset allocation and quantitative techniques for central banks and sovereign wealth funds (2010)

Interest rate models, asset allocation and quantitative techniques for central banks and sovereign wealth funds

by , , and

"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.

Publish Date
Publisher
Palgrave Macmillan
Language
English

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Previews available in: English

Subjects

Financial institutions, Asset-liability management, Management, Interest rates, Asset allocation, Investments, Central Banks and banking

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Cover of: Interest rate models, asset allocation and quantitative techniques for central banks and sovereign wealth funds
Interest rate models, asset allocation and quantitative techniques for central banks and sovereign wealth funds
2010, Palgrave Macmillan
in English
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Book Details

Table of Contents

Machine generated contents note: List of IllustrationsPrefaceIntroductionAbout the EditorsNotes on ContributorsPART I: INTEREST RATE MODELLING AND FORECASTINGCombining Canadian Interest Rate Forecasts
D.Bolder& Y.RomanyukUpdating the Yield Curve to Analysts Views
L.NogueiraA Spread Risk Model for Strategic Fixed Income Investors
F.Monar& K.NyholmDynamic Management of Interest Rate Risk Exposure
G.Petre& A.BerkelaarPART II: PORTFOLIO OPTIMISATION TECHNIQUESStrategic Asset Allocation with a Variable Investment Horizon
P.de Cacella, A.da Silva & I.MaiaHidden Risks in Mean Variance Optimization, J.Fernandes& J.OrnelasEfficient Portfolio Optimization in the Wealth Creation and Maximum Drawdown Space
A.Reveiz& C.LeonCopulas and Risk Measures for Strategic Asset Allocation
C.Caillault &amp
S.MonierScenario Dependent Portfolio Optimization
R.GravaStrategic Tilting Around the SAA Benchmark
A.Drew, R.Frogley, T.Hayward& R.SethiOptimal Construction of a Fund of Funds
P.Hilli, M.Koivu& T.PennanenPART III: ASSET CLASS MODELLING AND QUANTITATIVE TECHNIQUESMortgage Backed Securities in a Strategic Asset Allocation Framework
A.Kobor& M.BrennanComparing the Global Aggregate Index to a Blend of Global Treasuries and MBS
L.Dynkin, J.Hyman& B.PhelpsVolatility Exposure for Strategic Asset Allocation
Marie Brire, A.Burgues& O.SignoriA Frequency Domain Methodology for Time-Series Modeling
H.SteehouwerCombining Financial Data with Mixed Frequencies; T.Trovik& C.KaneStatistical Inference for Sharpes Ratio
F.Schmid & R.SchmidtAppendixNotesBibliographyIndex List of IllustrationsPrefaceIntroductionAbout the EditorsNotes on ContributorsPART I: INTEREST RATE MODELLING AND FORECASTINGCombining Canadian Interest Rate Forecasts
D.Bolder& Y.RomanyukUpdating the Yield Curve to Analysts Views
L.NogueiraA Spread Risk Model for Strategic Fixed Income Investors
F.Monar& K.NyholmDynamic Management of Interest Rate Risk Exposure
G.Petre& A.BerkelaarPART II: PORTFOLIO OPTIMISATION TECHNIQUESStrategic Asset Allocation with a Variable Investment Horizon
P.de Cacella, A.da Silva & I.MaiaHidden Risks in Mean Variance Optimization, J.Fernandes& J.OrnelasEfficient Portfolio Optimization in the Wealth Creation and Maximum Drawdown Space
A.Reveiz& C.LeonCopulas and Risk Measures for Strategic Asset Allocation
C.Caillault &
S.MonierScenario Dependent Portfolio Optimization
R.GravaStrategic Tilting Around the SAA Benchmark
A.Drew, R.Frogley, T.Hayward& R.SethiOptimal Construction of a Fund of Funds
P.Hilli, M.Koivu& T.PennanenPART III: ASSET CLASS MODELLING AND QUANTITATIVE TECHNIQUESMortgage Backed Securities in a Strategic Asset Allocation Framework
A.Kobor& M.BrennanComparing the Global Aggregate Index to a Blend of Global Treasuries and MBS
L.Dynkin, J.Hyman& B.PhelpsVolatility Exposure for Strategic Asset Allocation
Marie Brire, A.Burgues& O.SignoriA Frequency Domain Methodology for Time-Series Modeling
H.SteehouwerCombining Financial Data with Mixed Frequencies; T.Trovik& C.KaneStatistical Inference for Sharpes Ratio
F.Schmid & R.SchmidtAppendixNotesBibliographyIndex.

Edition Notes

Includes bibliographical references and index.

Published in
New York

Classifications

Dewey Decimal Class
332.1/13
Library of Congress
HG1615.25 .I58 2010

The Physical Object

Pagination
p. cm.

ID Numbers

Open Library
OL23919313M
Internet Archive
interestratemode00berk
ISBN 13
9780230240124
LCCN
2009045307

Source records

Library of Congress MARC record
Internet Archive item record

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