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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
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 &
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.
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