Quantitative Portfolio Strategy — Including US MBS in Global Treasury Portfolios

Lev Dynkin, Jay Hyman and Bruce Phelps

Chapter 13 in Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds, 2010, pp 249-264 from Palgrave Macmillan

Abstract: Abstract For many years, central bank investment portfolios were traditionally limited to the most conservative instruments, and consisted largely, or even entirely, of short-term Treasury debt. The single question that remained was the setting of the target duration. Over the course of the last decade, there have been profound changes at official institutions around the world that have led to relaxations of these constraints in many cases. The emergence of the European Central Bank led to a re-evaluation of investment objectives for national central banks within the Eurozone, and the growing role of sovereign wealth funds as managers of national wealth has led to the inclusion of more aggressive assets and strategies within these portfolios.

Keywords: Tracking Error; Risk Model; Spread Credit; Return Volatility; Asset Class (search for similar items in EconPapers)
Date: 2010
References: Add references at CitEc
Citations:

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

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:palchp:978-0-230-25129-8_13

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

DOI: 10.1057/9780230251298_13

Access Statistics for this chapter

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