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

樹上結(jié)蜜糖

Hedging Potential Liabilities of Foreign Reserves Through Asset Allocationf crisis defines the potential liabilities of a foreign reserves portfolio. This chapter proposes an asset allocation approach that takes into account a country’s foreign liabilities and its volatility. A reserve adequacy measure allows an estimation of the liabilities. The portfolio is divided into

Coordinate

Setting the Appropriate Mix Between Active and Passive Management in the Investment Tranche of a For tranche be subject to active management? (2) If it should, what is the appropriate mix of active risk and benchmark risk that maximizes the achievement of foreign reserves objectives? This chapter aims to overview the first question by reviewing the sources of alpha suggested by Merton (., MIT Sloa

Dissonance

A New Fixed-Income Fund Performance Attribution Model: An Application to ECB Reserve Management2) curve, (3) spread, and (4) security selection. We apply this model to the group of reserve managers in charge of investing the European Central Bank’s (ECB) official reserves in US dollars, worth around USD43?billion, in the period 2006–2010. We find that, among the performance layers, the spread

Proclaim

reflection

小歌劇

Carry On?d a measure of broad market returns. Carry-based portfolio strategies are assessed in three settings: (1) cross-market for specific maturities, (2) cross-curve for specific markets, and (3) cross-market and cross-curve. Our results show that carry can provide a meaningful predictive signal, but with

依法逮捕

Short-Term Drivers of Sovereign CDS Spreads 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

Biguanides

天然熱噴泉

Cytology

Benchmark-Relative and Absolute-Return Are the Same Thing: Conditions Applyategy, which aims to avoid losses when markets turn down. Some, however, are constrained by investment guidelines that force them to use a market benchmark. This chapter sets out a framework for relating absolute-return and benchmark-relative portfolio construction and demonstrates that, under certa