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

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 Brière, 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