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Quantitative Portfolio Strategy — Including US MBS in Global Treasury Portfolios

In: Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds

Author

Listed:
  • Lev Dynkin
  • Jay Hyman
  • Bruce Phelps

Abstract

For many years, central bank investment portfolios were traditionally limited to the most conservative instruments, and consisted largely, or even entirely, of short-term Treasury debt. The single question that remained was the setting of the target duration. Over the course of the last decade, there have been profound changes at official institutions around the world that have led to relaxations of these constraints in many cases. The emergence of 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.

Suggested Citation

  • Lev Dynkin & Jay Hyman & Bruce Phelps, 2010. "Quantitative Portfolio Strategy — Including US MBS in Global Treasury Portfolios," Palgrave Macmillan Books, in: Arjan B. Berkelaar & Joachim Coche & Ken Nyholm (ed.), Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds, chapter 13, pages 249-264, Palgrave Macmillan.
    • Handle: RePEc:pal:palchp:978-0-230-25129-8_13
    DOI: 10.1057/9780230251298_13
    as

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