## Global Asset Allocation in Fixed Income MarketsBank for International Settlements, Monetary and Economic Department, 1997 - Asset allocation - 26 pages |

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8th January asset allocation problem assumed base currency compute the distribution coupon bond prices currency retums denotes describe the evolution efﬁcient frontier evolution of exchange exchange rate model exchange rate process exchange rate retums expected retum GARCH GBP FRF CHF global asset allocation historical data holding an unhedged instantaneous forward rate interest rate model interest rate parity interest rate process investment period investors ith currency JPY GBP FRF jump process mean-variance optimisation problem modelling the evolution Monte Carlo simulation numerical scheme out-of-sample performance Poisson process portfolio weights portfolios selected present study PY GBP random variables rate model parameters realised retum retum arising risk-free bonds Ritchken and Sankarasubramanian sample functions Sharpe ratio short-term interest rate simulate the sample spot rate volatility stochastic differential equation structure of interest total retum unhedged bond portfolio volatility function volatility of exchange volatility of retums volatility structure Wiener process yield curve zero coupon bond