Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds
Editor
- Arjan B. Berkelaar(Kaust Investment Management Company)Joachim Coche(Bank for International Settlements (BIS) in Basle)Ken Nyholm(Risk Management Division of the European Central Bank)
Abstract No abstract is available for this item.Individual chapters are listed in the "Chapters" tab
Suggested Citation
- Arjan B. Berkelaar & Joachim Coche & Ken Nyholm (ed.), 2010. "Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds," Palgrave Macmillan Books, Palgrave Macmillan, number 978-0-230-25129-8, October.
Handle: RePEc:pal:palbok:978-0-230-25129-8
DOI: 10.1057/9780230251298
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Book Chapters
The following chapters of this book are listed in IDEAS- David Jamieson Bolder & Yuliya Romanyuk, 2010. "Combining Canadian Interest Rate Forecasts," Palgrave Macmillan Books, in: Arjan B. Berkelaar & Joachim Coche & Ken Nyholm (ed.), Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds, chapter 1, pages 3-30, Palgrave Macmillan.
- Leonardo M. Nogueira, 2010. "Updating the Yield Curve to Analyst’s Views," Palgrave Macmillan Books, in: Arjan B. Berkelaar & Joachim Coche & Ken Nyholm (ed.), Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds, chapter 2, pages 31-43, Palgrave Macmillan.
- Fernando Monar Lora & Ken Nyholm, 2010. "A Spread-Risk Model for Strategic Fixed-Income Investors," Palgrave Macmillan Books, in: Arjan B. Berkelaar & Joachim Coche & Ken Nyholm (ed.), Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds, chapter 3, pages 44-63, Palgrave Macmillan.
- Arjan B. Berkelaar & Gabriel Petre, 2010. "Dynamic Management of Interest Rate Risk for Central Banks and Pension Funds," Palgrave Macmillan Books, in: Arjan B. Berkelaar & Joachim Coche & Ken Nyholm (ed.), Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds, chapter 4, pages 64-89, Palgrave Macmillan.
- Paulo Maurício F. Cacella & Isabela Ribeiro Damaso & Antônio Francisco Silva, 2010. "A Strategic Asset Allocation Methodology Using Variable Time Horizon," Palgrave Macmillan Books, in: Arjan B. Berkelaar & Joachim Coche & Ken Nyholm (ed.), Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds, chapter 5, pages 93-111, Palgrave Macmillan.
- José Luiz Barros Fernandes & José Renato Haas Ornelas, 2010. "Hidden Risks in Mean-Variance Optimization: An Integrated-Risk Asset Allocation Proposal," Palgrave Macmillan Books, in: Arjan B. Berkelaar & Joachim Coche & Ken Nyholm (ed.), Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds, chapter 6, pages 112-133, Palgrave Macmillan.
- Alejandro Reveiz & Carlos León, 2010. "Efficient Portfolio Optimization in the Wealth Creation and Maximum Drawdown Space," Palgrave Macmillan Books, in: Arjan B. Berkelaar & Joachim Coche & Ken Nyholm (ed.), Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds, chapter 7, pages 134-157, Palgrave Macmillan.
- Cyril Caillault & Stéphane Monier, 2010. "Copulas and Risk Measures for Strategic Asset Allocation: A Case Study for Central Banks and Sovereign Wealth Funds," Palgrave Macmillan Books, in: Arjan B. Berkelaar & Joachim Coche & Ken Nyholm (ed.), Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds, chapter 8, pages 158-177, Palgrave Macmillan.
- Roberts L. Grava, 2010. "Practical Scenario-Dependent Portfolio Optimization: A Framework to Combine Investor Views and Quantitative Discipline into Acceptable Portfolio Decisions," Palgrave Macmillan Books, in: Arjan B. Berkelaar & Joachim Coche & Ken Nyholm (ed.), Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds, chapter 9, pages 178-188, Palgrave Macmillan.
- Aaron Drew & Richard Frogley & Tore Hayward & Rishab Sethi, 2010. "Strategic Tilting around the SAA Benchmark," Palgrave Macmillan Books, in: Arjan B. Berkelaar & Joachim Coche & Ken Nyholm (ed.), Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds, chapter 10, pages 189-206, Palgrave Macmillan.
- Petri Hilli & Matti Koivu & Teemu Pennanen, 2010. "Optimal Construction of a Fund of Funds," Palgrave Macmillan Books, in: Arjan B. Berkelaar & Joachim Coche & Ken Nyholm (ed.), Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds, chapter 11, pages 207-221, Palgrave Macmillan.
- Myles Brennan & Adam Kobor, 2010. "Mortgage-Backed Securities in a Strategic Asset Allocation Framework," Palgrave Macmillan Books, in: Arjan B. Berkelaar & Joachim Coche & Ken Nyholm (ed.), Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds, chapter 12, pages 225-248, Palgrave Macmillan.
- Lev Dynkin & Jay Hyman & Bruce Phelps, 2010. "Quantitative Portfolio Strategy — Including US MBS in Global Treasury Portfolios," Palgrave Macmillan Books, in: Arjan B. Berkelaar & Joachim Coche & Ken Nyholm (ed.), Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds, chapter 13, pages 249-264, Palgrave Macmillan.
- Marie Brière & Alexander Burgues & Ombretta Signori, 2010. "Volatility as an Asset Class for Long-Term Investors," Palgrave Macmillan Books, in: Arjan B. Berkelaar & Joachim Coche & Ken Nyholm (ed.), Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds, chapter 14, pages 265-279, Palgrave Macmillan.
- Hens Steehouwer, 2010. "A Frequency Domain Methodology for Time Series Modelling," Palgrave Macmillan Books, in: Arjan B. Berkelaar & Joachim Coche & Ken Nyholm (ed.), Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds, chapter 15, pages 280-324, Palgrave Macmillan.
- Tørres G. Trovik & Couro Kane-Janus, 2010. "Estimating Mixed Frequency Data: Stochastic Interpolation with Preserved Covariance Structure," Palgrave Macmillan Books, in: Arjan B. Berkelaar & Joachim Coche & Ken Nyholm (ed.), Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds, chapter 16, pages 325-336, Palgrave Macmillan.
- Friedrich Schmid & Rafael Schmidt, 2010. "Statistical Inference for Sharpe Ratio," Palgrave Macmillan Books, in: Arjan B. Berkelaar & Joachim Coche & Ken Nyholm (ed.), Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds, chapter 17, pages 337-357, Palgrave Macmillan.
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