Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds

Edited by Arjan B. Berkelaar, Joachim Coche and Ken Nyholm

in Palgrave Macmillan Books from Palgrave Macmillan

Date: 2010
ISBN: 978-0-230-25129-8
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Chapters in this book:

Ch 1 Combining Canadian Interest Rate Forecasts

David Bolder and Yuliya Romanyuk

Ch 2 Updating the Yield Curve to Analyst’s Views

Leonardo M. Nogueira

Ch 3 A Spread-Risk Model for Strategic Fixed-Income Investors

Fernando Monar Lora and Ken Nyholm

Ch 4 Dynamic Management of Interest Rate Risk for Central Banks and Pension Funds

Arjan B. Berkelaar and Gabriel Petre

Ch 5 A Strategic Asset Allocation Methodology Using Variable Time Horizon

Paulo Maurício F. Cacella, Isabela Ribeiro Damaso and Antônio Francisco Silva

Ch 6 Hidden Risks in Mean-Variance Optimization: An Integrated-Risk Asset Allocation Proposal

José Luiz Barros Fernandes and Jose Ornelas

Ch 7 Efficient Portfolio Optimization in the Wealth Creation and Maximum Drawdown Space

Alejandro Reveiz and Carlos León

Ch 8 Copulas and Risk Measures for Strategic Asset Allocation: A Case Study for Central Banks and Sovereign Wealth Funds

Cyril Caillault and Stéphane Monier

Ch 9 Practical Scenario-Dependent Portfolio Optimization: A Framework to Combine Investor Views and Quantitative Discipline into Acceptable Portfolio Decisions

Roberts L. Grava

Ch 10 Strategic Tilting around the SAA Benchmark

Aaron Drew, Richard Frogley, Tore Hayward and Rishab Sethi

Ch 11 Optimal Construction of a Fund of Funds

Petri Hilli, Matti Koivu and Teemu Pennanen

Ch 12 Mortgage-Backed Securities in a Strategic Asset Allocation Framework

Myles Brennan and Adam Kobor

Ch 13 Quantitative Portfolio Strategy — Including US MBS in Global Treasury Portfolios

Lev Dynkin, Jay Hyman and Bruce Phelps

Ch 14 Volatility as an Asset Class for Long-Term Investors

Marie Brière, Alexander Burgues and Ombretta Signori

Ch 15 A Frequency Domain Methodology for Time Series Modelling

Hens Steehouwer

Ch 16 Estimating Mixed Frequency Data: Stochastic Interpolation with Preserved Covariance Structure

Tørres G. Trovik and Couro Kane-Janus

Ch 17 Statistical Inference for Sharpe Ratio

Friedrich Schmid and Rafael Schmidt

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pal:palbok:978-0-230-25129-8

Ordering information: This item can be ordered from
http://www.palgrave.com/9780230251298

DOI: 10.1057/9780230251298

Access Statistics for this book

More books in Palgrave Macmillan Books from Palgrave Macmillan
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().