Год выпуска: 2008 Автор: Ken Nyholm Издательство: Страниц: 186 ISBN: 9780470753620
Описание
Strategic Asset Allocation in Fixed Income Markets explains financial and econometrical modelling techniques that can be used to implement strategic asset allocation methods in practice using MATLAB. Written by experienced Economist, Ken Nyholm, the book begins by introducing the reader to strategic asset allocation and its definition and applications before going on to explain how to use MATLAB in fixed–income investments and risk measurement using introductory matrix algebra, linear regression, spot rates and yields, forward rates and bond pricing functions. The second part of the book goes on to explain term structure models using examples of arbitrage–free and not necessarily arbitrage–free models; asset allocation models using the efficient frontier as a central concept; and introduces various econometric techniques such as vector autoregressive and regime–switching models. All financial concepts used in the book are introduced from a basic level and are...
