Titlebook: Advances in the Practice of Public Investment Management; Portfolio Modelling, Narayan Bulusu,Joachim Coche,Ghislain Yanou Book 2018 The Ed

GRUEL

https://doi.org/10.1007/978-3-031-26779-6 35 sovereigns. I estimate the models and test their robustness using data from July 2005 to July 2016. The set of eligible explanatory variables comprises indicators of the state of the global economy and of the domestic economic conditions, and proxies for risk premia. I find that not only the S&P

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Kelly Jones,Benjamin Poore,Robert Deanecke et al. (.(2), 233–250, 2011). We develop a risk-neutral valuation model and correct the credit spreads for the well-known “credit spread puzzle”. We calibrate the model on data from 1919 to 2014, which is much longer than used in most other papers analyzing expected credit spreads and excess re

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Kelly Jones,Benjamin Poore,Robert Deanintroduce a state-dependent investment strategy based on a set of indicators that we believe are useful in identifying economic and financial regimes and apply it to a universe consisting of four of the most important and liquid developed government bond markets: the United States, the United Kingdo

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The Call of the Chthonic: From , to tyles. Our results show that sector investing is effective for reducing risk through diversification, while factor investing is better for capturing risk premia and so pushing up returns. This suggests that there is room for potentially fruitful combinations of the two styles. Presumably, by combini

COKE

The Dual State and Government Reforms,nding the analysis in Raddatz et al. (. 413–430, 2017), we illustrate the different channels through which benchmarks affect international capital allocations. Redefinitions of benchmarks directly impact capital flows through the reallocations in the fund weights. Moreover, there is a direct relatio

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Contemporary Heart Transplantationstitutional investors’ monthly holdings of Government of Canada bonds, we study the relationship between the net purchases of investors with different investment mandates and bond yield changes. We find considerable heterogeneity in the impact of net purchases and yield changes, depending both on th

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