Titlebook: Advances in the Practice of Public Investment Management; Portfolio Modelling, Narayan Bulusu,Joachim Coche,Ghislain Yanou Book 2018 The Ed

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Factors and Sectors in Asset Allocation: Stronger Together?tyles. Our results show that sector investing is effective for reducing risk through diversification, while factor investing is better for capturing risk premia and so pushing up returns. This suggests that there is room for potentially fruitful combinations of the two styles. Presumably, by combini

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Government Bond Clienteles and Yieldsstitutional investors’ monthly holdings of Government of Canada bonds, we study the relationship between the net purchases of investors with different investment mandates and bond yield changes. We find considerable heterogeneity in the impact of net purchases and yield changes, depending both on th

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Hedging Potential Liabilities of Foreign Reserves Through Asset Allocatione the liabilities of foreign reserves. For the long-term investment tranche, asset-only optimization allows the construction of a portfolio with the objective of maximizing returns. We propose a framework for Colombia but that is applicable to any other country.

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A New Fixed-Income Fund Performance Attribution Model: An Application to ECB Reserve Managementew that portfolio managers adopt diversified investment styles. This may also explain the non-negligible excess returns of the aggregate reserve portfolio, averaging 10 basis points on an annual basis, net of transaction costs.

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