目次

Introduction Part I: Foreign Reserves Management Strategies: Implementation, Performance and Governance Chapter 1: Hedging potential liabilities of foreign reserves through asset allocation, by Marco Ruiz, Daniel Diaz, Julian Garcia, Cristian PorrasChapter 2: Setting the appropriate mix among active and passive management in the investment tranche of a foreign reserves portfolio, by Daniel Vela Chapter 3: Market timing and performance attribution in the ECB reserve management framework, by Francesco Potente, Antonio Scalia Chapter 4: Sovereign Wealth Fund Investment Performance, Strategic Asset Allocation, and Funding Withdrawal Rules, by Michael G. Papaioannou and Bayasgalan Rentsendorj Part II: Asset Allocation and Interest Rate & Credit Risk Environment Chapter 5: A macro-based valuation model for sovereign bonds, by Jacob Bjorheim, Joachim Coche, Alex Joia, Vahe SahakyanChapter 6: Chapter Carry on? by Joachim Coche, Mark Knezevic, Vahe Sahakyan Chapter 7: Short-term drivers of sovereign CDS spreads, by Marcelo Yoshio TakamiChapter 8: Long-term expected credit spreads and excess returns, by Erik Hennink Part III: Portfolio Construction Chapter 9: Regime optimal portfolios, by Santiago Alberico, Omar J. Zulaica, Joachim Coche, Vahe SahakyanChapter 10: Benchmark-relative and absolute return are the same thing, by Robert Scott Chapter 11: Factor-based v. industry-based asset allocation: The contest, by Marie Briere, Ariane Szafarz Part IV: Asset Classes for Public Investors Chapter 12: International asset allocations and capital flows: The benchmark effect, by Sergio Schmukler, Claudio Raddatz, Tomas Williams Chapter 13: Stock markets integration and active portfolio management - country and industry analysis, by Gabriel Petre, Olga Sulla, Daniel Vela Chapter 14: Institutional clienteles and bond prices, by Jianjian Jin, Francisco Rivadeneyra and Jesus Sierra