Interest rate models, asset allocation and quantitative techniques for central banks and sovereign wealth funds:
"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 leadi...
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Basingstoke, Hampshire [u.a.]
Palgrave Macmillan
2010
|
| Schlagworte: | |
| Online-Zugang: | kostenfrei Inhaltsverzeichnis |
| Zusammenfassung: | "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 |
| Beschreibung: | Enth. 17 Beitr. |
| Beschreibung: | XXXIX, 366 S. graph. Darst. 22 cm |
| ISBN: | 0230240127 9780230240124 |
Internformat
MARC
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| 245 | 1 | 0 | |a Interest rate models, asset allocation and quantitative techniques for central banks and sovereign wealth funds |c ed. by Arjan Bastiaan Berkelaar ... |
| 264 | 1 | |a Basingstoke, Hampshire [u.a.] |b Palgrave Macmillan |c 2010 | |
| 300 | |a XXXIX, 366 S. |b graph. Darst. |c 22 cm | ||
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| 338 | |b nc |2 rdacarrier | ||
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Datensatz im Suchindex
| _version_ | 1804143303887683584 |
|---|---|
| adam_text | IMAGE 1
CONTENTS
LIST *F ILLUSTRATIONS NOTES ON CONTRIBUTORS
PREFACE
INTRODUCTION
PART I INTEREST RATE MODELLING AND FORECASTING
1 COMBINING CANADIAN INTEREST RATE FORECASTS DAVID JAMIESON BOLDER AND
YULIYA ROMANYUK
2 UPDATING THE YIELD CURVE TO ANALYST S VIEWS LEONARDO M. NOGUEIRA
3 A SPREAD-RISK MODEL FOR STRATEGIC FIXED-INCOME INVESTORS FERNANDO
MONAR LORA AND KEN NYHOLM
4 DYNAMIC MANAGEMENT OF INTEREST RATE RISK FOR CENTRAL BANKS AND PENSION
FUNDS ARJAN B. BERKELAAR AND GABRIEL PETRE
PART II PORTFOLIO OPTIMIZATION TECHNIQUES
5 A STRATEGIC ASSET ALLOCATION METHODOLOGY USING VARIABLE TIME HORIZON
PAULO MAURICIO F. DE CACELLA, ISABELA RIBEIRO DAMASO AND ANTONIO
FRANCISCO DA SILVA JR.
6 HIDDEN RISKS IN MEAN-VARIANCE OPTIMIZATION: AN INTEGRATED-RISK ASSET
ALLOCATION PROPOSAL JOSE LUIZ BARROS FERNANDES AND JOSE RENATO HAAS
ORNELAS
7 EFFICIENT PORTFOLIO OPTIMIZATION IN THE WEALTH CREATION AND MAXIMUM
DRAWDOWN SPACE ALEJANDRO REVEIZ AND CARLOS LEON
8 COPULAS AND RISK MEASURES FOR STRATEGIC ASSET ALLOCATION: A CASE STUDY
FOR CENTRAL BANKS AND SOVEREIGN WEALTH FUNDS CYRIL CAILLAULT AND
STEPHANE MONIER
3
31
44
64
93
112
134
158
*
IMAGE 2
VI CONTENTS
9 PRACTICAL SCENARIO-DEPENDENT PORTFOLIO OPTIMIZATION: A FRAMEWORK TO
COMBINE INVESTOR VIEWS AND QUANTITATIVE DISCIPLINE INTO ACCEPTABLE
PORTFOLIO DECISIONS 178 ROBERTS L. GRAVA
10 STRATEGIC TILTING AROUND THE SAA BENCHMARK 189
AARON DREW, RICHARD FROGLEY, TORE HAYWARD AND RISHAB SETHI
11 OPTIMAL CONSTRUCTION OF A FUND OF FUNDS 207
PETRI HILLI, MATTI KOIVU AND TEEMU PENNANEN
PART III ASSET CLASS MODELLING AND QUANTITATIVE TECHNIQUES
12 MORTGAGE-BACKED SECURITIES IN A STRATEGIC ASSET ALLOCATION FRAMEWORK
225
MYLES BRENNAN AND ADAM KOBOR
13 QUANTITATIVE PORTFOLIO STRATEGY - INCLUDING US MBS IN GLOBAL TREASURY
PORTFOLIOS 249
LEV DYNKIN, JAY HYMAN AND BRUCE PHELPS
14 VOLATILITY AS AN ASSET CLASS FOR LONG-TERM INVESTORS 265 MARIE
BRIERE, ALEXANDER BURGUES AND OMBRETTA SIGNORI
15 A FREQUENCY DOMAIN METHODOLOGY FOR TIME SERIES MODELLING 280
HENS STEEHOUWER
16 ESTIMATING MIXED FREQUENCY DATA: STOCHASTIC INTERPOLATION WITH
PRESERVED COVARIANCE STRUCTURE 325 TRRES G. TROVIK AND COURO KANE-JANUS
17 STATISTICAL INFERENCE FOR SHARPE RATIO 337
FRIEDRICH SCHMID AND RAFAEL SCHMIDT
INDEX 359
|
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| building | Verbundindex |
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| classification_rvk | QK 810 |
| ctrlnum | (OCoLC)699635192 (DE-599)GBV608999458 |
| discipline | Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV036676891 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T22:45:31Z |
| institution | BVB |
| isbn | 0230240127 9780230240124 |
| language | English |
| lccn | 2009045307 |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-020595850 |
| oclc_num | 699635192 |
| open_access_boolean | 1 |
| owner | DE-11 |
| owner_facet | DE-11 |
| physical | XXXIX, 366 S. graph. Darst. 22 cm |
| publishDate | 2010 |
| publishDateSearch | 2010 |
| publishDateSort | 2010 |
| publisher | Palgrave Macmillan |
| record_format | marc |
| spelling | Interest rate models, asset allocation and quantitative techniques for central banks and sovereign wealth funds ed. by Arjan Bastiaan Berkelaar ... Basingstoke, Hampshire [u.a.] Palgrave Macmillan 2010 XXXIX, 366 S. graph. Darst. 22 cm txt rdacontent n rdamedia nc rdacarrier Enth. 17 Beitr. "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 Asset-liability management Interest rates Asset allocation Banks and banking, Central / Management Financial institutions / Investments Zinsfuß (DE-588)4190927-6 gnd rswk-swf Notenbankpolitik (DE-588)4130528-0 gnd rswk-swf Bilanzstrukturmanagement (DE-588)4413520-8 gnd rswk-swf Staatsfonds (DE-588)7637883-4 gnd rswk-swf Wertpapierportefeuille (DE-588)4276973-5 gnd rswk-swf Notenbankpolitik (DE-588)4130528-0 s Staatsfonds (DE-588)7637883-4 s Bilanzstrukturmanagement (DE-588)4413520-8 s Zinsfuß (DE-588)4190927-6 s Wertpapierportefeuille (DE-588)4276973-5 s DE-604 Berkelaar, Arjan B. Sonstige oth DE-601 pdf/application http://www.gbv.de/dms/zbw/608999458.pdf kostenfrei Inhaltsverzeichnis OEBV Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020595850&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Interest rate models, asset allocation and quantitative techniques for central banks and sovereign wealth funds Asset-liability management Interest rates Asset allocation Banks and banking, Central / Management Financial institutions / Investments Zinsfuß (DE-588)4190927-6 gnd Notenbankpolitik (DE-588)4130528-0 gnd Bilanzstrukturmanagement (DE-588)4413520-8 gnd Staatsfonds (DE-588)7637883-4 gnd Wertpapierportefeuille (DE-588)4276973-5 gnd |
| subject_GND | (DE-588)4190927-6 (DE-588)4130528-0 (DE-588)4413520-8 (DE-588)7637883-4 (DE-588)4276973-5 |
| title | Interest rate models, asset allocation and quantitative techniques for central banks and sovereign wealth funds |
| title_auth | Interest rate models, asset allocation and quantitative techniques for central banks and sovereign wealth funds |
| title_exact_search | Interest rate models, asset allocation and quantitative techniques for central banks and sovereign wealth funds |
| title_full | Interest rate models, asset allocation and quantitative techniques for central banks and sovereign wealth funds ed. by Arjan Bastiaan Berkelaar ... |
| title_fullStr | Interest rate models, asset allocation and quantitative techniques for central banks and sovereign wealth funds ed. by Arjan Bastiaan Berkelaar ... |
| title_full_unstemmed | Interest rate models, asset allocation and quantitative techniques for central banks and sovereign wealth funds ed. by Arjan Bastiaan Berkelaar ... |
| title_short | Interest rate models, asset allocation and quantitative techniques for central banks and sovereign wealth funds |
| title_sort | interest rate models asset allocation and quantitative techniques for central banks and sovereign wealth funds |
| topic | Asset-liability management Interest rates Asset allocation Banks and banking, Central / Management Financial institutions / Investments Zinsfuß (DE-588)4190927-6 gnd Notenbankpolitik (DE-588)4130528-0 gnd Bilanzstrukturmanagement (DE-588)4413520-8 gnd Staatsfonds (DE-588)7637883-4 gnd Wertpapierportefeuille (DE-588)4276973-5 gnd |
| topic_facet | Asset-liability management Interest rates Asset allocation Banks and banking, Central / Management Financial institutions / Investments Zinsfuß Notenbankpolitik Bilanzstrukturmanagement Staatsfonds Wertpapierportefeuille |
| url | http://www.gbv.de/dms/zbw/608999458.pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020595850&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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