Berkelaar, Arjan B.

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

Berkelaar, Arjan B. - Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds, ebook


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ISBN: 9780230251298
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Table of contents

Part I. Interest Rate Modelling and Forecasting

1. Combining Canadian Interest Rate Forecasts
David Jamieson Bolder, 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, Ken Nyholm

4. Dynamic Management of Interest Rate Risk for Central Banks and Pension Funds
Arjan B. Berkelaar, Gabriel Petre

Part II. Portfolio Optimization Techniques

5. A Strategic Asset Allocation Methodology Using Variable Time Horizon
Paulo Maurício F. Cacella, Isabela Ribeiro Damaso, Antônio Francisco Silva

6. Hidden Risks in Mean-Variance Optimization: An Integrated-Risk Asset Allocation Proposal
José Luiz Barros Fernandes, José Renato Haas Ornelas

7. Efficient Portfolio Optimization in the Wealth Creation and Maximum Drawdown Space
Alejandro Reveiz, Carlos León

8. Copulas and Risk Measures for Strategic Asset Allocation: A Case Study for Central Banks and Sovereign Wealth Funds
Cyril Caillault, Stéphane Monier

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

10. Strategic Tilting around the SAA Benchmark
Aaron Drew, Richard Frogley, Tore Hayward, Rishab Sethi

11. Optimal Construction of a Fund of Funds
Petri Hilli, Matti Koivu, Teemu Pennanen

Part III. Asset Class Modelling and Quantitative Techniques

12. Mortgage-Backed Securities in a Strategic Asset Allocation Framework
Myles Brennan, Adam Kobor

13. Quantitative Portfolio Strategy — Including US MBS in Global Treasury Portfolios
Lev Dynkin, Jay Hyman, Bruce Phelps

14. Volatility as an Asset Class for Long-Term Investors
Marie Brière, Alexander Burgues, Ombretta Signori

15. A Frequency Domain Methodology for Time Series Modelling
Hens Steehouwer

16. Estimating Mixed Frequency Data: Stochastic Interpolation with Preserved Covariance Structure
Tørres G. Trovik, Couro Kane-Janus

17. Statistical Inference for Sharpe Ratio
Friedrich Schmid, Rafael Schmidt

Keywords: Economics, Economic Policy, Risk Management, Business Strategy/Leadership, Business Finance, Banking, Investments and Securities

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406 pages
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