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

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. INDICE: List of Illustrations - Preface - Introduction - About the Editors- Notes on Contributors - PART I: INTEREST RATE MODELLING AND FORECASTING - Combining Canadian Interest Rate Forecasts; D.Bolder ; Y.Romanyuk - Updating the Yield Curve to Analysts' Views; L.Nogueira - A Spread Risk Model for Strategic Fixed Income Investors; F.Monar ; K.Nyholm - Dynamic Management of InterestRate Risk Exposure; G.Petre ; A.Berkelaar - PART II: PORTFOLIO OPTIMISATION TECHNIQUES - Strategic Asset Allocation with a Variable Investment Horizon; P.de Cacella, A.da Silva ; I.Maia - Hidden Risks in Mean Variance Optimization, J.Fernandes ; J.Ornelas - Efficient Portfolio Optimization in the Wealth Creation and Maximum Drawdown Space; A.Reveiz ; C.Leon - Copulas and Risk Measures for Strategic Asset Allocation; C.Caillault ; S.Monier - Scenario Dependent Portfolio Optimization; R.Grava - Strategic Tilting Around the SAA Benchmark; A.Drew, R.Frogley, T.Hayward ; R.Sethi - Optimal Construction of a Fund of Funds;P.Hilli, M.Koivu ; T.Pennanen - PART III: ASSET CLASS MODELLING AND QUANTITATIVE TECHNIQUES - Mortgage Backed Securities in a Strategic Asset Allocation Framework; A.Kobor ; M.Brennan - Comparing the Global Aggregate Index to a Blendof Global Treasuries and MBS; L.Dynkin, J.Hyman ; B.Phelps - Volatility Exposure for Strategic Asset Allocation; Marie Brière, A.Burgues ; O.Signori - A Frequency Domain Methodology for Time-Series Modeling; H.Steehouwer - Combining Financial Data with Mixed Frequencies; T.Trovik ; C.Kane - Statistical Inference for Sharpe's Ratio; F.Schmid ; R.Schmidt - Appendix - Notes - Bibliography - Index

• ISBN: 978-0-230-24012-4
• Editorial: Palgrave Macmillan
• Encuadernacion: Cartoné
• Páginas: 408
• Fecha Publicación: 30/11/2009
• Nº Volúmenes: 1
• Idioma: Inglés