Portfolio and Risk Management for Central Banks and Sovereign Wealth Funds

Hardcover | January 15, 2011

EditorKen Nyholm, Joachim Coche, Gabriel Petre

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This book contains original readings on Reserves Management for central banks and sovereign wealth funds. It aims to outline best practice in respect of strategic asset allocation, facilitating knowledge-sharing across organizations and encouraging collaboration and dialogue between reserves and asset management specialists in the organizations.

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This book contains original readings on Reserves Management for central banks and sovereign wealth funds. It aims to outline best practice in respect of strategic asset allocation, facilitating knowledge-sharing across organizations and encouraging collaboration and dialogue between reserves and asset management specialists in the orga...

JOACHIM COCHE is Senior Asset Management Specialist at the Bank for International Settlements in Basle, Switzerland. He has previously worked at the World Bank Treasury, and was Senior Economist at the European Central Bank. His research interests include asset management, asset and liability modelling and central bank reserves manage...

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Format:HardcoverDimensions:256 pages, 8.88 × 5.64 × 0.98 inPublished:January 15, 2011Publisher:Palgrave MacmillanLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:023027353X

ISBN - 13:9780230273535

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Table of Contents

Asset-Liability Management for Central Banks: an Overview; Y.Romanyuk
Dynamic Behavioural Approach to Strategic Asset Allocation; J.L.Barros Fernandes & P.M.Fonseca de Cacella
Dynamic Strategic Asset Allocation: Conditional Expected Returns and Parametric Portfolio Optimization; C.Jeffery, K.Somefun & E.van den Heiligenberg
Inflation Hedging for Long-Term Investors; A.P.Attie & S.K.Roache
Active Portfolio Management of Currency Baskets; A.Reveiz
The Black-Litterman Model in Central Banking Practice; T.Petrovic
Liquidity, Risk Management, and the Credit Crisis of 2007 - 2009; B.W.Golub & C.C.Crum
Alternative Investments in SWF and Central Bank Portfolios; S.Jain & K.Acuña
Forecasting a Large Dimensional Covariance Matrix of a Portfolio of Different Asset Classes; L.Lam, L.Fung & I.Yu
A Performance Attribution Methodology for Fixed Income Portfolios; J.R.Ornelas, P.J.Campos de Carvalho, A.F.de A da Silva Junior & I.Ribeiro Damaso Maia
A Sovereign Asset-Liability Framework with Multiple Risk Factors for External Reserves Management - Reserve Bank of India; H.Bhattacharya, J.Kreuser & S.Sivakumar
The Zeus Project: A Financial Tool for Public Investors; I.Ribeiro Damaso Maia & P.Fonseca de Cacella