Interest rate models, asset allocation and quantitative techniques for central banks and sovereign wealth funds: Ebook. - Originally published in: 2009
Saved in:
| Format: | Electronic eBook |
|---|---|
| Language: | English |
| Published: |
Basingstoke
Palgrave Macmillan
2009
|
| Subjects: | |
| Online Access: | UBR01 Volltext |
| Item Description: | Adobe Ebook Reader 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 Interest Rate 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 Blend of Global Treasuries and MBS-- L.Dynkin, J.Hyman& B.Phelps Volatility Exposure for Strategic Asset Allocation-- Marie Briere, 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 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 |
| Physical Description: | 1 Online-Ressource (408 p. S.) |
| Format: | Document |
Staff View
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| id | DE-604.BV037279068 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-09T22:55:07Z |
| institution | BVB |
| language | English |
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| physical | 1 Online-Ressource (408 p. S.) |
| psigel | ZDB-40-PEF |
| publishDate | 2009 |
| publishDateSearch | 2009 |
| publishDateSort | 2009 |
| publisher | Palgrave Macmillan |
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| spelling | Interest rate models, asset allocation and quantitative techniques for central banks and sovereign wealth funds Ebook. - Originally published in: 2009 Edited by Arjan B. Berkelaar, Joachim Coche, Ken Nyholm Basingstoke Palgrave Macmillan 2009 1 Online-Ressource (408 p. S.) txt rdacontent c rdamedia cr rdacarrier Adobe Ebook Reader 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 Interest Rate 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 Blend of Global Treasuries and MBS-- L.Dynkin, J.Hyman& B.Phelps Volatility Exposure for Strategic Asset Allocation-- Marie Briere, 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 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 Document Banking bicssc Investment & securities bicssc Finance and Accounting eflch Banking / bicssc Investment & securities / bicssc Finance and Accounting / eflch Berkelaar, Arjan B. Sonstige oth Coche, Joachim Sonstige oth Nyholm, Ken Sonstige oth http://www.palgraveconnect.com/doifinder/10.1057/9780230251298 Verlag Volltext |
| spellingShingle | Interest rate models, asset allocation and quantitative techniques for central banks and sovereign wealth funds Ebook. - Originally published in: 2009 Banking bicssc Investment & securities bicssc Finance and Accounting eflch Banking / bicssc Investment & securities / bicssc Finance and Accounting / eflch |
| title | Interest rate models, asset allocation and quantitative techniques for central banks and sovereign wealth funds Ebook. - Originally published in: 2009 |
| title_auth | Interest rate models, asset allocation and quantitative techniques for central banks and sovereign wealth funds Ebook. - Originally published in: 2009 |
| title_exact_search | Interest rate models, asset allocation and quantitative techniques for central banks and sovereign wealth funds Ebook. - Originally published in: 2009 |
| title_full | Interest rate models, asset allocation and quantitative techniques for central banks and sovereign wealth funds Ebook. - Originally published in: 2009 Edited by Arjan B. Berkelaar, Joachim Coche, Ken Nyholm |
| title_fullStr | Interest rate models, asset allocation and quantitative techniques for central banks and sovereign wealth funds Ebook. - Originally published in: 2009 Edited by Arjan B. Berkelaar, Joachim Coche, Ken Nyholm |
| title_full_unstemmed | Interest rate models, asset allocation and quantitative techniques for central banks and sovereign wealth funds Ebook. - Originally published in: 2009 Edited by Arjan B. Berkelaar, Joachim Coche, Ken Nyholm |
| 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 ebook originally published in 2009 |
| title_sub | Ebook. - Originally published in: 2009 |
| topic | Banking bicssc Investment & securities bicssc Finance and Accounting eflch Banking / bicssc Investment & securities / bicssc Finance and Accounting / eflch |
| topic_facet | Banking Investment & securities Finance and Accounting Banking / bicssc Investment & securities / bicssc Finance and Accounting / eflch |
| url | http://www.palgraveconnect.com/doifinder/10.1057/9780230251298 |
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