Apraksts

NOSAUKUMS Central Bank Reserves and Sovereign Wealth Management / edited by Arjan Bastiaan Berkelaar, Joachim Coche, Ken Nyholm.
IZDEVĒJS/GADS New York
Palgrave Macmillan
2010
APJOMS 362 p.
BIBLIOGRĀFIJA Includes bibliographical references and index
ISBN 9780230580893
UDK INDEKSS 336.711

Eksemplāri

Fonds Adrese Skaits Plaukts Pieejamība
Bibliotēka 01.2 1 Plauktā Var pasūtīt

Anotācija


his book comprises the papers presented and discussed at the SAA conference, held 24-25 November 2008. It offers an exchange of views on technical and implemental issues of financial models relevant for strategic asset allocation.

Contents: Introduction. PART I: RESERVES MANAGEMENTAsset-Liability Management for Central Bank's Balance SheetAnalysis of Sovereign Default RiskReserves Management at the Danish Central BankOptimal Central Bank and Sovereign Wealth Fund Asset Allocation and Reserve Choice: A Principle-Agent AnalysisPART II: OPTIMIZATION METHODSPortfolio Optimization with skewness and credit RiskUsing Economic Theory to Build Optimal PortfoliosGalerkin Methods in Dynamic Stochastic ProgrammingReplicating the Lehman Agg with Treasuries and MBSPART III: SOVEREIGN WEALTH MANAGEMENTStrategic TiltingOptimal Asset Allocation for Sovereign Wealth FundsIntergenerational Risk Transfer for Collective DB SchemesPART IV: ASSET MODELINGModeling Alternative InvestmentsEconomic Scenario ModelingModeling Public Equity ReturnsApplication of Affine Term Structure Models to Scenario GenerationNotesBibliographyIndex IntroductionPART I: RESERVES MANAGEMENTAsset-Liability Management for Central Bank's Balance SheetAnalysis of Sovereign Default RiskReserves Management at the Danish Central BankOptimal Central Bank and Sovereign Wealth Fund Asset Allocation and Reserve Choice: A Principle-Agent AnalysisPART II: OPTIMIZATION METHODSPortfolio Optimization with skewness and credit RiskUsing Economic Theory to Build Optimal PortfoliosGalerkin Methods in Dynamic Stochastic ProgrammingReplicating the Lehman Agg with Treasuries and MBSPART III: SOVEREIGN WEALTH MANAGEMENTStrategic TiltingOptimal Asset Allocation for Sovereign Wealth FundsIntergenerational Risk Transfer for Collective DB SchemesPART IV: ASSET MODELINGModeling Alternative InvestmentsEconomic Scenario ModelingModeling Public Equity ReturnsApplication of Affine Term Structure Models to Scenario GenerationNotesBibliographyIndex.

Kontaktinformācija

Ir jautājumi? Rakstiet mums

Palīdzība

Seko mums

Saites