عنوان

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

(Number (ISBN

0230240127

(Number (ISBN

9780230240124

Number

b737038

Title Proper

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

General Material Designation

[Book]

First Statement of Responsibility

edited by Arjan B. Berkelaar, Joachim Coche, Ken Nyholm.

Place of Publication, Distribution, etc.

New York :

Name of Publisher, Distributor, etc.

Palgrave Macmillan,

Date of Publication, Distribution, etc.

2010.

Specific Material Designation and Extent of Item

xxxix, 366 pages :

Other Physical Details

illustrations ;

Dimensions

23 cm

Text of Note

Includes bibliographical references and index.

Text of Note

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 [and others] -- 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.

0

Text of Note

"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.

Title

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

Asset allocation.

Asset-liability management.

Banks and banking, Central-- Management.

Financial institutions-- Investments.

Interest rates.

Asset allocation.

Asset-liability management.

Banks and banking, Central-- Management.

Financial institutions-- Investments.

Interest rates.

Number

Edition

Class number

Book number

Berkelaar, Arjan B.

Coche, Joachim,1967-

Nyholm, Ken.

Date of Transaction

20201203212210.0

Electronic name

[Book]

Y