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

  • Arjan B. Berkelaar
  • Joachim Coche
  • Ken Nyholm

Table of contents

  1. Front Matter
    Pages i-xl
  2. Interest Rate Modelling and Forecasting

    1. Front Matter
      Pages 1-1
    2. David Jamieson Bolder, Yuliya Romanyuk
      Pages 3-30
    3. Leonardo M. Nogueira
      Pages 31-43
    4. Fernando Monar Lora, Ken Nyholm
      Pages 44-63
  3. Portfolio Optimization Techniques

    1. Front Matter
      Pages 91-91
    2. Paulo Maurício F. de Cacella, Isabela Ribeiro Damaso, Antônio Francisco da Silva Jr
      Pages 93-111
    3. José Luiz Barros Fernandes, José Renato Haas Ornelas
      Pages 112-133
    4. Aaron Drew, Richard Frogley, Tore Hayward, Rishab Sethi
      Pages 189-206
    5. Petri Hilli, Matti Koivu, Teemu Pennanen
      Pages 207-221
  4. Asset Class Modelling and Quantitative Techniques

    1. Front Matter
      Pages 223-223
    2. Marie Brière, Alexander Burgues, Ombretta Signori
      Pages 265-279
    3. Friedrich Schmid, Rafael Schmidt
      Pages 337-357
  5. Back Matter
    Pages 359-366

About this book

Introduction

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.

Keywords

asset allocation investment Portfolio Portfolio Optimization Volatility

Editors and affiliations

  • Arjan B. Berkelaar
    • 1
  • Joachim Coche
    • 2
  • Ken Nyholm
    • 3
  1. 1.Kaust Investment Management CompanyUSA
  2. 2.Bank for International Settlements (BIS) in BasleSwitzerland
  3. 3.Risk Management Division of the European Central BankGermany

Bibliographic information