Titlebook: Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign W; Arjan B. Berkelaar (Head of Risk Man

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Quantitative Portfolio Strategy — Including US MBS in Global Treasury Portfoliosof the European Central Bank led to a re-evaluation of investment objectives for national central banks within the Eurozone, and the growing role of sovereign wealth funds as managers of national wealth has led to the inclusion of more aggressive assets and strategies within these portfolios.

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A Strategic Asset Allocation Methodology Using Variable Time Horizonsed to extend the restriction framework. However, only a small set of investor’s preferences can be represented with standard models. As preferences tend to be multiple and even conflicting, a more complex framework is necessary to reflect them properly.

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Hidden Risks in Mean-Variance Optimization: An Integrated-Risk Asset Allocation Proposalnfidence on the risk/return estimation. Black and Litterman (1992) realize that quantitative asset allocation models have not played the important role they should in global portfolio management, partly due to the previous problems.

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Mortgage-Backed Securities in a Strategic Asset Allocation Framework simply as one asset class among others, like equities or real estate. In their case, MBS by definition receives a near 40% weight within their fixed income allocation, so it is beneficial for them to be able to reliably model the behaviour of the MBS sector.

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Optimal Construction of a Fund of Fundsfication that is optimal in terms of a given convex risk measure (see e.g. F?llmer and Schied 2004, Chapter 4). We formulate an optimization problem in which a portfolio manager is faced with uncertain asset returns as well as liabilities.

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ogy and diagnosis. Today, the wealth of new information from molecular medicine makes it very challenging for the individual practitioner to have a complete picture of these entities. ?.Diseases of the Parathyroid Glands. addresses these issues by offering a concise, user-friendly text that provides