標(biāo)題: Titlebook: Advances in the Practice of Public Investment Management; Portfolio Modelling, Narayan Bulusu,Joachim Coche,Ghislain Yanou Book 2018 The Ed [打印本頁] 作者: TUMOR 時(shí)間: 2025-3-21 19:19
書目名稱Advances in the Practice of Public Investment Management影響因子(影響力)
書目名稱Advances in the Practice of Public Investment Management影響因子(影響力)學(xué)科排名
書目名稱Advances in the Practice of Public Investment Management網(wǎng)絡(luò)公開度
書目名稱Advances in the Practice of Public Investment Management網(wǎng)絡(luò)公開度學(xué)科排名
書目名稱Advances in the Practice of Public Investment Management被引頻次
書目名稱Advances in the Practice of Public Investment Management被引頻次學(xué)科排名
書目名稱Advances in the Practice of Public Investment Management年度引用
書目名稱Advances in the Practice of Public Investment Management年度引用學(xué)科排名
書目名稱Advances in the Practice of Public Investment Management讀者反饋
書目名稱Advances in the Practice of Public Investment Management讀者反饋學(xué)科排名
作者: Urgency 時(shí)間: 2025-3-21 23:16
http://image.papertrans.cn/a/image/150254.jpg作者: 線 時(shí)間: 2025-3-22 03:41
https://doi.org/10.1007/978-3-319-90245-6Investment Management; Sovereign Wealth Funds; Foreign Reserves Management; Pension Funds; Fund Governan作者: legislate 時(shí)間: 2025-3-22 05:13 作者: 不利 時(shí)間: 2025-3-22 09:30 作者: orthodox 時(shí)間: 2025-3-22 15:59 作者: 圣歌 時(shí)間: 2025-3-22 19:12
Martin Heidegger and Daoism in Dialogue2) 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作者: 殘忍 時(shí)間: 2025-3-23 00:24
https://doi.org/10.1007/978-3-031-26779-6lying policy purposes in establishing SWFs and their legal organizations and governance structures, including the operational and investment management arrangements, determine to a large degree their performance. Recent macroeconomic difficulties in commodity-based SWF owner countries demonstrate th作者: 粘土 時(shí)間: 2025-3-23 02:25 作者: Palter 時(shí)間: 2025-3-23 07:04
Martin Heidegger and Daoism in Dialogued 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作者: GRUEL 時(shí)間: 2025-3-23 11:46
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作者: CARK 時(shí)間: 2025-3-23 17:18
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作者: 嘴唇可修剪 時(shí)間: 2025-3-23 19:59
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作者: Pepsin 時(shí)間: 2025-3-23 22:48 作者: Perennial長期的 時(shí)間: 2025-3-24 02:34
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作者: COKE 時(shí)間: 2025-3-24 09:46
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作者: 帽子 時(shí)間: 2025-3-24 12:10 作者: inhumane 時(shí)間: 2025-3-24 16:53
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作者: 話 時(shí)間: 2025-3-24 21:14 作者: 騎師 時(shí)間: 2025-3-25 00:05 作者: 樹上結(jié)蜜糖 時(shí)間: 2025-3-25 06:37
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作者: Coordinate 時(shí)間: 2025-3-25 09:35
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作者: Dissonance 時(shí)間: 2025-3-25 12:02
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作者: Proclaim 時(shí)間: 2025-3-25 19:15 作者: reflection 時(shí)間: 2025-3-25 20:59 作者: 小歌劇 時(shí)間: 2025-3-26 02:02
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作者: 依法逮捕 時(shí)間: 2025-3-26 07:16
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作者: Biguanides 時(shí)間: 2025-3-26 12:01 作者: 天然熱噴泉 時(shí)間: 2025-3-26 12:40 作者: Cytology 時(shí)間: 2025-3-26 19:51
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作者: instulate 時(shí)間: 2025-3-27 01:00
Factors and Sectors in Asset Allocation: Stronger Together?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作者: institute 時(shí)間: 2025-3-27 04:41 作者: 改革運(yùn)動(dòng) 時(shí)間: 2025-3-27 06:47 作者: TEM 時(shí)間: 2025-3-27 11:46
Government Bond Clienteles and Yieldsstitutional 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作者: Demulcent 時(shí)間: 2025-3-27 17:35 作者: minimal 時(shí)間: 2025-3-27 20:37
Hedging Potential Liabilities of Foreign Reserves Through Asset Allocatione the liabilities of foreign reserves. For the long-term investment tranche, asset-only optimization allows the construction of a portfolio with the objective of maximizing returns. We propose a framework for Colombia but that is applicable to any other country.作者: dragon 時(shí)間: 2025-3-27 23:40 作者: exigent 時(shí)間: 2025-3-28 04:41
A New Fixed-Income Fund Performance Attribution Model: An Application to ECB Reserve Managementew that portfolio managers adopt diversified investment styles. This may also explain the non-negligible excess returns of the aggregate reserve portfolio, averaging 10 basis points on an annual basis, net of transaction costs.作者: Iniquitous 時(shí)間: 2025-3-28 06:42 作者: 倔強(qiáng)不能 時(shí)間: 2025-3-28 10:40 作者: 使害怕 時(shí)間: 2025-3-28 15:30
Regime Identification for Sovereign Bond Portfolio Constructionional asset allocation approaches. The findings may indicate that the regime-optimised allocations are exposed to an additional risk factor that, when priced, could give rise to an expected excess return over standard mean-variance portfolios.作者: Grievance 時(shí)間: 2025-3-28 22:37
The Impact of Benchmark Investing by Institutional Investors on International Capital Allocationsbenchmark weight, the use of benchmarks can generate amplification and contagion effects across countries. We show algebraically the presence of these direct, sensitivity, amplification, and contagion effects; describe them through various examples derived from the data; and quantify their importance.作者: 心痛 時(shí)間: 2025-3-29 00:38
Equity Markets Integration and Active Portfolio Managementlustrate the benefits of diversification due to absence of co-integration, as they exhibit improved risk-return characteristics. Further research is suggested to deepen the reasoning behind the patterns of co-integration, as well as implementation of the technique by active equity managers due to liquidity considerations.作者: evaculate 時(shí)間: 2025-3-29 03:16
Book 2018ents. Other highlights include implementation, performance attribution and governance issues surrounding reserves management, portfolio construction techniques appropriate for public investors and an in-depth discussion of the challenges to achieving international diversification..作者: 外面 時(shí)間: 2025-3-29 07:50
Global Germany in Transnational Dialoguese model are illustrated for the US, German, UK, and Japanese bond markets. We show that this approach—for na?ve assumptions on the evolution of macro variables—has statically significant excess return predictability. Excess return predictability improves with improvements in the quality of inflation and GDP growth expectations.作者: Detain 時(shí)間: 2025-3-29 13:05 作者: sleep-spindles 時(shí)間: 2025-3-29 15:48
The Call of the Chthonic: From , to ng factors and sectors, investors would benefit both from the diversification potential of the former and the risk premia of the latter. The tests reveal that composite strategies are particularly attractive; they confirm that sector investing helps reduce risks during crisis periods, while factor investing can boost returns during quiet times.作者: Liability 時(shí)間: 2025-3-29 19:56
Contemporary Heart Transplantatione type of investor and on the duration of the bond. This provides support for the notion that different segments of the bond maturity spectrum are “inhabited” by particular types of investors and that their investment mandates partly determine the nature of the interaction between their purchases and yields.作者: dainty 時(shí)間: 2025-3-30 00:17
A Macro-Based Process for Actively Managing Sovereign Bond Exposurese model are illustrated for the US, German, UK, and Japanese bond markets. We show that this approach—for na?ve assumptions on the evolution of macro variables—has statically significant excess return predictability. Excess return predictability improves with improvements in the quality of inflation and GDP growth expectations.作者: addition 時(shí)間: 2025-3-30 08:07 作者: perpetual 時(shí)間: 2025-3-30 12:17
Factors and Sectors in Asset Allocation: Stronger Together?ng factors and sectors, investors would benefit both from the diversification potential of the former and the risk premia of the latter. The tests reveal that composite strategies are particularly attractive; they confirm that sector investing helps reduce risks during crisis periods, while factor investing can boost returns during quiet times.作者: 事物的方面 時(shí)間: 2025-3-30 16:02
Government Bond Clienteles and Yieldse type of investor and on the duration of the bond. This provides support for the notion that different segments of the bond maturity spectrum are “inhabited” by particular types of investors and that their investment mandates partly determine the nature of the interaction between their purchases and yields.作者: ABASH 時(shí)間: 2025-3-30 19:31 作者: obscurity 時(shí)間: 2025-3-30 22:58 作者: cornucopia 時(shí)間: 2025-3-31 01:18
Martin Heidegger and Daoism in Dialogueew that portfolio managers adopt diversified investment styles. This may also explain the non-negligible excess returns of the aggregate reserve portfolio, averaging 10 basis points on an annual basis, net of transaction costs.作者: LIMN 時(shí)間: 2025-3-31 07:38 作者: 反復(fù)拉緊 時(shí)間: 2025-3-31 12:00 作者: Palatial 時(shí)間: 2025-3-31 13:54
